In the Monte Carlo simulation of both lattice field theories and of models of statistical mechanics, identities verified by exact mean values, such as Schwinger-Dyson equations, Guerra relations, Callen identities, etc., provide well-known and sensitive tests of thermalization bias as well as checks of pseudo-random-number generators. We point out that they can be further exploited as control variates to reduce statistical errors. The strategy is general, very simple, and almost costless in CPU time. The method is demonstrated in the two-dimensional Ising model at criticality, where the CPU gain factor lies between 2 and 4.