One common question I get is as follows: Can I take company records that help prove my retaliation/discrimination case? To which I often answer - I can't tell you you can do that, but written evidence that supports your claim is the best evidence. Recently, the New Jersey Supreme Court (its highest state court) said that it may be permissible for an employee to take confidential employment information in order to support a claim for discrimination or retaliation claim. Naturally, the Court only sanctions taking copies - you cannot take the only copy of company documents with you under any circumstances.
The Court announced a quite useful "Totality of the Circumstances" balancing test in announcing its decision in Quinlan v. Curtiss-Wright Corporation. Aggrieved employees and attorneys for both sides alike may find this case quite informative.
As I have suggested in the past (including Part I of this series), written evidence is the best evidence. If you think you may have an employment related claim, start printing out and copying documents that you believe support your claim. Do this on your lunch break or during non-working hours (you would hate to get fired for this - such conduct could be deemed a "legitimate non-discriminatory reason for your termination thereby defeating your claim!)