Any company you worked for last year should send your form by January 31, but did you know that you might be able to get your W-2 form online right now? Some of the popular tax filing programs such as H&R Block and TurboTax offer services that will download your W-2 for you. This doesn't work for ALL employers, but you never know if it might work for yours--and more and more employers are allowing online access to W-2 paperwork every year.
Why get your W-2 online? It allows you to file sooner, and you also avoid having paper copies of your documents lying around. Also, in recent years, there have been some forms of identity theft where thieves file for people's refunds very quickly, so you can sometimes avoid a big hassle just by getting your information together and filing as soon as possible.
By the way, if you need information from your W-2 forms from prior years, you can get transcripts from the IRS of anything from the last ten years.
Check out http://filemytaxesonline.org/getting-your-w-2-form-online/ for more detailed information on this and other tax-related topics.