Photo by 401K 2012
As you probably already know, employers are required to send out W-2s to their employees by January 31st. They also have to file copies of them with the IRS by February 29th, unless they are filing electronically, in which case they have until April 2nd. 
If they can't meet these deadlines, they can write to the IRS to ask for an extension. In the case of your employer, however, it doesn't sound like they did that.
The IRS website provides a list of steps that you should take if you haven't received your W-2 by the deadline. 
1. First, you should contact your employer to ask when the form was mailed. This can help clear up any issues such as the form being send to the wrong address. With your situation, however, there obviously was no mix-up...the employer is just slow. Because of that, you should move on to step 2.
2. Contact the IRS at 800-829-1040 if you haven't gotten your W-2 by February 14. Before you call, gather together your dates of employment, employers name, address, city and phone number, an approximate estimate of how much you earned and how much income tax was withheld.
3. File your return on time or request an extension. Even if you have not received your W-2 by the filing deadline, you are still required to file on time. You will need to use Form 4852, Substitute for Form W-2, Wage and Tax Statement. Attach form 4852 to your return with an accurate estimate of your earnings and tax withholdings.
4. If you do eventually get your W-2 and have already filed, make sure that the amount you reported on your return matches the amount on your W-2. If it doesn't, you will need to file form 1040X, which is an Amended U.S. Individual Income Tax Return.
In terms of your employer, they may face fines from the IRS for being late sending out their W-2s. The fines are $30 per form if they are sent within 30 days of the due date. These fines increase the longer the forms are delayed.