My W-2 is usually available online around mid-January, and I usually get the paper copy around that time too, so I can at least start filing. The 1099-INT from my bank doesn't become available online till February 1st though, so I have to wait for that to become available before I can actually finish everything, by which time I'm usually able to finish my federal and state and submit both at the same time. I saw tonight that the 1099-INT is supposed to be mailed by January 31st, so I should have it in the mail soon (hopefully by the end of the week), but I can pretty much get everything from the bank's site without needing the paper copy.
The beauty of having everything online is I don't necessarily have to wait for the paper copy to come in the mail, and I can get started as soon as I'm able to start accessing the information I need.
Hopefully my previous employer will send out my tax forms soon. I have no other way of receiving them since they don't have a website that non employees can access. I can get my forms from my current job right now but I'm waiting until I get all the forms I need before filing my taxes. I've got a couple new forms I need to deal with this year, one is from my old 401k that I took money out of and the other is a healthcare one from my current job.