If you have entered federal withholding, and you are mailing in a tax return (not e-filing), you are required to attach a copy of the document that was the source of the amount, of withholding, that you entered.
It's usually a form W-2 or one of the many 1099 forms (1099-R, for retirement income or SSA-1099 for social security, or 1099-G for unemployment, being the most common).
