A lot of people have a year they never filed. Income was low, life was chaotic, the paperwork was somewhere in a box. If you were owed a refund that year, that money is still sitting there - but not forever.
The three-year window
You generally have three years from the original due date to file and still receive a refund. After that the claim expires and the money stays with the Treasury. Two things follow from this: check your oldest unfiled year first, and don't wait for a quiet weekend.
If you owed tax rather than being owed a refund, there's no deadline to file - and filing late is still much better than not filing, because penalties and interest keep running.
Step one: get your records
You don't need the paper W-2 you lost. The IRS keeps a wage and income transcript showing what employers and payers reported for you, and you can request it online or by mail for free. That transcript is usually enough to reconstruct a whole year.
Step two: use that year's forms
A prior-year return has to be filed on that year's forms with that year's rules and limits. Prior-year forms are all available from the IRS. Most older years have to be mailed rather than e-filed, so send them separately, one envelope per year, and use tracked mail.
Step three: check for credits you skipped
This is where late returns often turn into real money. The EITC, Child Tax Credit, and education credits are claimed on the return, so an unfiled year is an unclaimed year. Run the numbers with that year's rules - they change annually.
Step four: expect it to be slow
Paper returns take months to process, and multiple years take longer. If the IRS filed a substitute return on your behalf, your own return replaces it, but that takes extra review time. Keep copies of everything you send.
Free help exists
IRS-sponsored volunteer tax programs prepare returns at no cost for households under an income threshold, and Low Income Taxpayer Clinics handle disputes and back-year messes. You don't have to pay a percentage of your refund to anyone.