Lived in NJ all of 2009, still live there.

Worked in NJ, 1/1/2009 to 5/29/2009.
Unemployed, 5/30/2009 to 8/9/2009.
Worked in NY, 8/10/2009 to 12/31/2009.

As far as doing the NY nonresident return, pretty easy.

But, Form IT-203-B (allocation) is confusing. Do I need to file the form for each of my two employers (one in NJ, one in NY) for 2009?

The NJ job would allocate to zero for NY, and the NY job would allocate of course to NY.

The instructions for form IT-203-B are ambiguous and poorly worded. Any help appreciated.

Also... the NY state nonresident return isn't clear. Should I attach form W-2 from each job, even though only 1 is taxable by NY state? Seems like my situation should be pretty common, but NY does not provide very good instructions or examples.

Form IT-203-B is only required if you held a job as a non-resident that included some work inside NYS and some outside. It's purpose is to allocate a portion of your earnings on such a job to NY so they can tax it. In your case it doesn't appear that you need to complete this form, unless your NJ-based job from Jan - May included some work in NY State.

As for attaching W-2's -- you don't need to. You must complete a section of form IT-2 for each of the W-2's you receive, including the job that has no NUY income. The instructions for IT-2 indicate that you do not actually attach your W-2's to the NY State return.