Tax transcripts
This is one imp. document. What you can do is [THis is what I did since I did not have the 98, 99 returns] go to the local IRS office [this is a Fed tax office] and get a copy of your transcripts for the previous three years and ask them to attest it. This is free of cost.
Also you can obtain of copy of your Fed tax return by paying some $23 odd [This will be an exact copy of the forms which you submitted to IRS]. This takes 4-6 weeks, so do it asap. I just took the transcripts since I was running short of time and they worked fine , no problem.
In fact the officer at the consulate just took the 2000 transcript and gave me back the 98, 99 transcripts, this is exactly what other people appearing for the CP interview told me.
Also if you want to be foolproof you can get the state tax transcripts. For this you need to call the state for which you filed the taxes. This again takes about 4 weeks and since I was running short of time I did not have time to get these.
Best of luck.