You'll include the basic tax return (1040/1040A/1040EZ) and any additional forms & schedules that appear after it in your file. Forms will have a specific form number in the upper left corner, and Schedules will say "Schedule" in the upper left corner along with a letter (like Schedule A or B or C, etc).
To the front page of the return you'll attach all your forms W-2 and W-2G (gambling winnings), plus any 1099 forms that show tax being withheld. If no tax was withheld, then you just include the W-2 forms.