Is my employer required to give me a pay stub with my check?

Each week all I [and my coworkers] receive from our boss is a plain company check. I signed a W2 and taxes are being taken out, but he does not give us pay stubs showing hours, amount of taxes, hourly wage, etc. I feel uncomfortable not having anything to keep for my records, and it just doesn't seem right that all he gives us is a check with our weekly amount writtin in. Does this sound fishy to anyone else?