I work in Virginia but live in Maryland; do I file in both?

It depends.  VA and MD are reciprocal states: you only pay tax where you live, not where you work.   If your VA employer only withheld MD taxes, you are not required to file a return with VA.  You will say no to the question if you worked in another state besides MD, and only prepare the MD return.

However, if your VA employer withheld VA taxes, then you will want to file a VA nonresident return with the option that the withholdings were mistakenly taken from your paycheck (Form 763-S) and that you are a resident of MD.  All of the VA taxes are returned to you, but you will have a tax liability with MD on this income.  You may also file paperwork with your VA employer so they take out MD tax only and not VA tax.  Here is an FAQ with more information:  https://ttlc.intuit.com/replies/4776822

HI, 

My employer is in VA and I am living at MD past 3 years, my employer paid income taxes to the MD, I did fill for unemployment benefit in Virginia but it has been denied should I fill in MD?

Thanks

Allen