I'm surprised that they admitted that they didn't go out. By law, W-2's are supposed to be postmarked by Jan. 31st. You are also supposed to allow 2 weeks for the mail to get them to you. Most companies will lie to you and say they went out, then they have until Feb. 14th to get a "re-issued" one out to you. If you still don't have your W-2 by Feb. 14th, you may be able to file using
Form 4852 which is a substitute W-2. Here are some links to the IRS website that may prove helpful for you.
Missing Your Form W-2?
Here is a link for Form 4852...
http://www.irs.gov/pub/irs-pdf/f4852.pdf
But if you estimate wrong on the 4852 and after receiving your W-2 find that some numbers are different, then you will have to file an amended return.
Here is another link that talks about not receiving you W-2 and even supplies an 800 number to call...
Tax Topics - Topic 154 Forms W-2 and Form 1099–R (What to Do if Not Received)
I hope this helps you!