If you're not sure which ones to expect, or what exactly they report, there's information on the most common ones in T4s and Other Canadian Income Tax Slips. Click through on the links for details on each one and to see samples.
If you don't receive a tax information slip when you should, you are responsible for asking your employer, bank, or the issuer of the slip for a copy. Even if you are missing a slip, make sure to file your income tax return by the April 30 deadline so you don't risk penalties for filing your income taxes late. If you have to file without an information slip, add a note to your paper return giving the name and address of the organization which is supposed to issue the slip, the type of income, and what you have done to try and get the slip. Include any supporting information and documentation you have about the amount of income and related deductions and claims. If you're filing your taxes electronically, be sure to keep that information handy in case the CRA asks to see it.
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More on Canadian Income Taxes
Filing Your Canadian Income Taxes - The Basics
Where to Get a Canadian Income Tax Package
NETFILE - Filing Your Income Taxes Online
How to Check on Your Income Tax Refund