Scam? Why shouldn't I give out my SSN?

Ok so I signed up on a site to be a shadow shopper. Anyway I got an e-mail from one fo the companies involved and I called the number and they said that the oppurtunity at my zipcode was just taken, but gave me other options which i declined because they were too far for me to drive(have to borrow a freinds car). She told me to see about signing up on their website which I went to do but realized that they wanted my Social Security #. Now obviously I'm not giving it to them since I don't know who they are, but I have three real questions. Has anyone heard of Apex (a href="http://www.athpoweronline.com/index.norm.php)?" rel="nofollow"http://www.athpoweronline.com/index.norm…/a Are they the real deal? And why exactly is it a bad idea to give out ur SSN? I've always been told not to, but never really given specific reasons so i want to know all the facts. Thanks to anyone who helps