I an a NY resident with gambling winnings in NJ. Do I have to file a NJ return?

I would think so, yes. Most states with casinos DO assess taxes on the winnings if they are reported.

Agreed - gambling winnings earned in NJ are taxable by NJ. And of course losses are deductable only to the extent that they offset winnings.

Some states assess a flat tax with NO offset allowed for losses.

Mississippi does this (I know from personal experience).

The MS tax seems more like an excise tax on winnings than an income tax, though I know that's what they call it.

By the way - here's a reference to the NJ tax on winnings - only prizes greater than $10K are taxed. http://www.state.nj.us/treasury/taxation/pdf/pubs/tb/tb20r.pdf

I agree about the excise tax comment, but because they called it an INCOME tax, I was allowed to claim a credit for it on my Georgia tax return.