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The 1040EZ is for the Federal.  You sign & send that to IRS. Be sure to attach copies of your W2 form(s) to the front of the 1040EZ.   Here is the mailing address:
https://www.irs.gov/uac/pennsylvania-where-to-file-addresses-for-taxpayers-and-tax-professionals

The PA40 and the PA Schedule W2 are for state.  You sign and send those to the State of PA.  You do not need to attach your W2s to that one, the Schedule W2 takes care of that for you.  Assuming you have a refund, Mail PA to:

Refund/Credit Requested Returns, PA-40:
PA DEPT OF REVENUE
REFUND/CREDIT REQUESTED
3 REVENUE PLACE
HARRISBURG PA 17129-0003
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