It depends on what state you live in, all have different requirements. However, attaching a W-2 is generally required.
If you can tell us what state you're filing in, we can assist you further.
State requirements vary, and you have not mentioned what state you are filing a return for. When you print out the state return to file by mail there will be a page of filing instructions that tells you what to attach. And it might say it right on the state form--look along the left margins of the state form to see if it tells you to attach your W-2 or 1099's.
For Pennsylvania, you must attach any W2s or 1099s with state tax withholding. @cmakuch