@kal10,
Like ebrown, I can only provide an answer
for the US. Yes, you must have a pay stub, even if your pay is being direct deposited. That pay stub must detail all taxes deducted from the check, and I believe it must also account for all other deductions.
If you start getting the check stubs in the future, do some arithmetic and make sure the proper taxes have been withheld. Again, in the US, you are liable for payroll taxes like Social Security and Medicare. If the employer does not report and pay them, they will collect from you at some time in the future.
I'll repeat myself and say that this is an answer specifically for the US, and might not apply to Canada.