If you are unlucky enough to work across state lines in a state with no reciprocal agreement with your resident state, (for instance, Illinois and Indiana), then you will need to file income tax returns for both states. However, you should also be able to claim a credit on your resident state income tax return for the state income tax that you paid for the nonresident state.
File an IN nonresident return, and then an IL resident one.
We always seem to pay more $ to IL for taxes. IN will calculate a credit for taxes paid to other states (IL) that is about a $1k less than what we actually paid, and THEN we still will owe IN about $1K. So we now pay about an extra $2K between paying IL more and IN giving credit for less than IL taxes paid.
It is nuts.