Do I have to file federal and state taxes if I did not work in 2011 and made no income at all?

Technically, probably not unless you own property and your state has some sort of property tax rebate program that requires a return. I've always taken the route of filing regardless of my employment status just to be on the record in case of audits later on or in case I needed to qualify for some sort of benefit, like student assistance. It's an easy process, and in my opinion it's worth the effort. You can file easily and quickly online.

You are required to file tax return only if your income is more than the filing requirements. Your U.S. Tax Return: 2011 Filing Requirements for Most Taxpayers