I kind of side with xrichx.
I think that an interview is also a chance for *you* to interview the employer. Sure there are formalities, but really there are very few rules set in stone for an interview. Each side of the table is trying to get to know the other. Desirable personality traits and the substance of your formal presentation can greatly depend on the people involved or the field of work you are applying for. It is your responsibility to understand the interpersonal formalities of your field.
When they ask you questions, how you respond, (e.g. how willing you are to be candid with their requests,) is really a function of how badly you need the job. If you are in a position where you think you have more leverage to bargain, you might take more brazen moves like asking about salary on the first interview. If you don't want to risk raising their ire because you really need the job and your situation is more critical, then just do your best to go along with them, and use your responses and verbal skills to put the interviewer at ease. This usually means that you must reveal more personal information. If you are looking for better pay and feel you have some leverage, go for it. Say that "you are looking for a position with more responsibility and higher pay than your current position." This is a candid way to start the conversation and a good employer will appreciate your direct response. But be willing to offer them good reasons to explain why you are qualified for higher pay.
If someone asked me what my salary was at my last job, I would tell them what it was exactly. That's not too out of the ordinary, and this question is pretty standard on most applications and it is helpful to the hiring process. If they asked me for a w-2 on the first interview, I would personally be concerned. To me it could show a level of distrust or dishonesty on their part, and reveal an important nuance about how they operate their business environment internally. In my opinion, W-2 information is personal and confidential, just like a credit report, and should only be released if you formally agree in writing to a background check. To finish that thought, signed agreements to process background checks are standard these days. On one hand you should recognize the validity of an employer's need for a background check. On the other hand, you have every right to expect this to be a signed agreement that clearly outlines the nature of the investigation, in addition to what documents and records will be searched. You have every right to object to an employer who tries to fudge and make fuzzy any part of the background check process (e.g. by asking for a w-2 prior to gaining your written consent.) You have every right to state your salary verbally, while maintaining that the actual w-2 is a formal document to be released only under your signed consent.
So for example, if you feel you have some leverage and they ask you for a w-2 on the first interview, you might remark that you feel it's personal information because it reveals more about your financial situation than just your salary. Tell them your salary verbally, but remark that you would like to sign a consent form to a background check that includes access to your w-2. If you are simply desperate for the job, smile and say "sure I'll get you a copy." But remember, the more comfortable an employer is in expecting you to divulge sensitive information, that is a sign of how they operate internally and what their "corporate environment" is like. This goes back to you interviewing them.
I think the number one thing in an interview, though, is to be honest. A lot of employers will ask you targeted questions that they can verify in a background check. These are basically traps set to see if you are a character that is willing to lie. ALWAYS BE HONEST, and if you really can't answer the question for a personal reason, say you can't answer for personal reasons. A good employer will respect that response because a good employer understands that the personal and the professional sometimes do cross paths. But as someone here noted, a blatant lie will really hurt you.