Yes, for your federal return you attach all W-2 forms, but only the 1099s that show tax withheld. You don't have to attach anything like a mortgage interest statement. Keep those for your records.
As far as your Pennsylvania return, here is the instruction from the PA-1040 booklet:
"Federal Forms, W-2, 1099-R, 1099-MISC, 1099-NEC. Photocopies
of your Form(s) W-2 (be sure the information is legible), or your
actual Form(s) W-2. Include a statement to list and total your other
taxable compensation. You must submit photocopies of your Form(s)
1099-R, 1099-MISC, 1099-NEC and other statements that show
other compensation and any PA tax withheld.
NOTE: Do not include copies of Form(s) 1099-DIV, and 1099-INT,
unless the forms show PA income tax withheld"
That means they want the same things, W-2s and 1099s that show state tax withheld.
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