You should be receiving any W-2 Forms reporting your wages and tax withholding in January through mid-February. Employers are supposed to mail out or deliver the Form W-2 by January 31st. Allow a few extra days for delivery in the mail. If you haven't received your W-2 by mid-February, call your employer and ask for a duplicate.
Other tax documents are also send out by the end of January, including documents that report bank interest, student loan interest, mortgage interest, dividends, and other types of income or deductions. Form 1099-B, however, reporting proceeds from stocks, bonds or mutual funds that you sold isn't mailed out until February 16th. If this year is going to be anything similar to the last two years, brokers might send you two Forms 1099-B, the first to meet the IRS-imposed deadline, and a corrected 1099-B about a month later.
Related information: Calendar of important tax deadlines.