Unless you have an individual plan through the Marketplace, you do not need a 1095 form to file your taxes for the 2015 year. This means if you are insured through a group health plan with your employer, on a government program or on an individual plan not purchased through the Marketplace you are able to file your taxes without a 1095 form.
If you were enrolled through the Marketplace this year, you will receive a 1095-A in the mail. If you have not received it or misplaced it, you can download a copy through your Marketplace account. The reason you need this document is to reconcile/report your premium tax credit if you were eligible. If you think you may qualify for a tax credit or received an advanced tax credit (financial assistance with the cost of your premium), you need to have your 1095-A form to see if you are owed more or need to pay back to the government.