I live full time in PA.
I changed jobs in 2007. I worked part time in PA and From Aug 07 to present I work in NY.
Do I pay taxes on my NY income on my PA State Tax Return, on my NY State Tax Return, or both?
Living in PA, why don't I get a full refund on my NY Taxes paid?

First complete the NY state non-resident tax form IT-203. That form asks you to provide info on all your income, which is used to determine your tax bracket. But you actually pay tax to NY only on the income you actually earned there, although at a rate commensurate with your full income stream. Then determine your PA taxes, as a full year resident. You will again report all your income to PA, and calculate taxes as if you had earned it all in PA, but then you take a credit for the amount you had to pay to other jurisdictions (in this case NY) - to do this you need to complete the PA-40 Schedule G-R and G-L.