there are several options here.
1. report them to the post office
2. replace your mailbox with a mailbox with a key, although mail carriers don't like those because they have to carry a key for it also
3. get a p.o. box for all of your bank statements, credit cards, anything financial.
Also, if this has been going on for a while, I would check my credit report. With your addresses being that close together, they may have opened a credit card up in your name, and an address correction wouldn't be hard for them to pull off with close addresses.
Be careful video taping people without their knowledge. I'm not sure of the laws on it, but am sure there are.