I live in NJ and just got a job in NYC. What do I need to know about the taxes?

You should have NY and NYC taxes withheld from your salary. Withhold NO NJ taxes.

You will have to file two state tax returns, NY and NJ.

NJ will give you a credit for the NY state taxes you pay. Since NY tax rates are higher than NJ, that credit will completely offset your NJ tax liability. However, you have to show that by filing a NY tax return.