First, turn to your employer's Human Resources department. Many companies keep copies of the prior year's W-2s or have access to copies.
Visit the IRS website and download Form 4506-T. Find a link in the References section. The help line is also available: 1-800-TAX-1040 (1-800-829-1040). After you file the form, the IRS will send you a copy of your full return for any of the past 10 years, which will include your missing W-2. There is a fee associated with this -- $57 per year requested, as of 2010.
If you need your W-2 immediately, visit a local IRS office to request the information.