Your Federal return includes the 1040 and its supporting Schedules and Forms. You will see attachement numbers in the upper right hand corner. For example, Schedule 1 has attachment sequence No. 01. If you see worksheets, or anything that specifies that it not be sent, keep these for your own records.
For state, it is more or less the same format, but every state is different. Attach your Forms W-2, 1099-Rs and any other reporting document that has withholding on it.
Some states also require a Federal copy to be attached.
