It's generally better to use your EIN on the W-9 for the reason that you mentioned - to help prevent identity theft. By using your EIN you avoid giving out your Social Security number unnecessarily.
For your taxes, it doesn't make any difference which number you use, and it also doesn't matter that the EIN is not on your bank account. However, to clearly separate personal and business income and expenses, you should have a business bank account separate from your personal bank account. The bank will want your EIN for the business account.
