They only apply to jobs. Other types of income are reported on a type of 1099 form (for example, 1099-INT for interest payments).
The employer fills out form W-2. It states who you are, who your employer is, how much you earned, how much of that should not be taxed (e.g. 401(k) contributions), and how much they withheld for various taxes.
This is done for each calendar year. You should receive them in January from all jobs you worked the previous year.
The employer sends a copy to you, a copy to the IRS, a copy to the SSA, and if they levy income taxes a copy to your state and city. Despite that, you're still supposed to include a copy with your tax return.