Hi I received a w2 for a company that I have never worked for or even heard of. I am concerned my identity may have been stolen. Have you heard of this happening before?

Yes and you are probably right.  Start by calling the company and trying to get through to their HR or payroll department.

You will also want to start checking your credit reports, maybe subscribe to a credit watching firm, or freeze your credit reports, or take other common identity theft precautions.