I suspect you mean a W-2, as you use a W-4 to provide withholding information to your employer.
Actually, you don't need a w-2 to file, since your company sends a computed copy to the IRS. But you do need to know your income, withholdings, etc. All of which may be available someplace else (as in your last pay stub).
You never really need a W-2, or 1099 (or any form) from someone else to file your taxes....in fact, whether someone sends you one, or not, if you have income you MUST file your taxes. However, it is best to wait to file until you have received your w-2 in order to be certain that all was reported correctly. Companies are only required to mail them by January 31. In addition, Congress has not yet approved the tax tables, so early filing will just put you on the incoming stack until they do, estimated to be mid-February.
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