prr,
Sorry to hear that your employers in PA and VA didn't withhold NC income tax. But, while it places an additional burden on your, all is not lost. You can complain to the companies later.
In terms of filing status for all the states for which you need to file a return:
You were part year residents of CO and of NC. You were nonresidents of PA and VA.
As you indicated, your CO return should be relatively straightforward, so once you have completed the federal return, tackle that one next. While CO will ask for your total full year income, don't sweat it as they prorate the tax by the percentage of CO income (and deductions) so it works out to be pretty the same as if you just were directly taxed on your CO income alone. (CO has a flat rate income tax.)
NC provides a tax credit for taxes that you are paying to PA and VA, so do those returns next.
Finally, do the NC return, being sure to apply the credit for the PA and VA tax bill. (Not your withholdings or refund/amount due.)
