What address do I send my W-2 form to

W-2 received by you?

where do I send my w-2 tax return to via mail from Illinois

The address will be on the instruction page when you print the return to file by mail.

You do not need to send your W-2 to the IRS if you electronically file your tax return.  

Each state is different.  That would depend on the state you live in. 

@c_christina 

1. You don't mail a Form W-2
2. You do mail, if you are not eFiling, your Form 1040 where you are from Illinois, to an address listed in this IRS detailed set of addresses - as it depends on whether you are only sending in the Form 1040 or also making a payment
   https://www.irs.gov/filing/illinois-where-to-file-addresses-for-taxpayers-and-tax-professionals
   

Mines not on there 

@jjthegreat1 You have to select File by Mail, and then print.  Otherwise, you just get a copy of the return to review.  Or go to the IRS website, as the address depends upon where you are , and whether you are getting a refund or not.