As a NJ resident who works in NYC, what would be my withholding taxes? How is it different from living in NJ and working in NJ?

The amount withheld is dependent on your salary and how many exemptions you claim, but for planing purposes remember that NY's income tax rates are a bit higher than NJ's - depending on your income you can plan on paying about 6.5% to NY State, whereas if you worked in NJ the rate would be more like 5.5%. So if you could find an equivalent job in NJ you would come out ahead, plus you would probably save substantially on commuting costs.

You will file both the State returns. For income in NY, you will pay taxes in the NY.
On your NJ return, you will report all your income and get credit for taxes paid in NY.

Agrred.

Generally speaking, if you work in NYC and live in NJ, you pay taxes to NY state and the resulting tax credits on your NJ return completely eliminates any NJ taxes.

You STILL have to file the NJ tax return, but no taxes will be due.