I currently am a resident in NJ and work for a large company that has locations both in NY and NJ. For the 1st 4 months in 2008 my payroll was based in NY (hence NY taxes deducted) and then moved to NJ (hence paying NJ taxes)

I received two W2s (NY and NJ) reporting the same gross income. Do I need to file a NY and NJ state return? If so, on the NY state return do I need to report what I made the 1st 4 months of 2008? Not sure how this works?

Your W2 for your NY wages should show only the wages you earned while woking in NY, and the one for NJ should show only the wages you earned while working in NJ. If they both show your full year's wages the IRS is going to think you made twice as much as you did. Also, tell us about the State Wages reported in box 16 - do both W2's report the same income amount there?

You are going to file 2 state returns - first complete the NY State tax form for non-residents (IT-203). On that form you report all your income for the year, but are only taxed on the portion you earned in NY. Then complete your NJ-1040. Again you report all your income (from both jobs) and calculate tax on that full amount, but then you take a credit for taxes paid to other juisdictions (namely NY).