I moved in the middle of the year. I worked for 4 months in Indiana and then 8 months in Illinois. I need to file taxes for both states, is there a free site to e-file the multiple taxes?

Have you checked the state websites? There are free sites to file for federal... hard to guess about state. I would say probably not.

The commercial software packages often GIVE the federal software package away FOR FREE, because they make it up when they charge for the STATE tax returns.

Some states DO offer free efiling on there state websites, but usually only for the VERY SIMPLE returns.