What if the FEIN is different from the payer TIN?

On which form?  An FEIN is usually on a W-2, while a TIN appears, for example, on a 1099-R.

Interesting. TurboTax is asking for the FEIN for my E*Trade brokerage account. Last year it wanted the TIN. Now with merger with Margan Stanley, what number do we use? 

Use the number that appears on your consolidated Form 1099 from E*Trade @Nik525.

Thanks, seems simple after you said it.