I would contact your state's individual income tax...
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I would contact your state's individual income tax section (usually the revenue department) and have them confirm that they need you to send the W-2 before just mailing the document. Record who you spoke to and the date and time as well. If revenue department confirms that they need the W-2, it'll be okay to send it. Make sure you call the correct department, don't just assume the number given to you is good...look it up yourself and verify. That way you know that you're not being hit by some scam or trick.

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