FIRST …by law you are required to have the W-2 in you possession prior to filing for 3 reasons:

1) You must physically attach a copy of the W-2 to a mailed tax return.

2) If you e-file you must retain the W-2 because the IRS can request that you send it to them at any time to verify the information so it must be in your possession.

3) You sign the tax return (either on paper or electronically) that the tax return  is complete and accurate under penalty of perjury and without all the W-2 box information that can only be obtained from the actual W-2, it will not be complete or accurate.

Then …aside from being illegal …   filing before your employer issues a W-2 is unwise for many reasons :

1)  the info on the paystub will not match the W2 in most cases  AND this will trigger an IRS audit  AND/OR  require you to amend the return which is a pain

2)  the IRS will not process any return until they have the info from the employer to match to your return so filing early just puts you in a holding pattern with millions of others which can delay your return for weeks

3)  any return with EIC or ACTC is automatically delayed in processing until after 2/15 no matter when you send in the return ... and in the past the early filers got stuck in the aforementioned holding pattern  and their refunds were delayed

4)  once again the tax forms have been redesigned so delays or bugs in the system will  need to be worked out ...  filing before these have been corrected can delay your return's processing as recent past history has proven ... in the case of the IRS the early bird doesn't usually get the worm, it only gets an un ripened apple.