Depends on the state. Some of them (NY is one) have a non-resident income tax on earnings earned in NY. I'm not sure if it's for having your primary place of employment in NY or for all income earned in NY. If a NY Yankee or Mets player lives in NJ or CT, they pay NY income tax at the non-resident rate.
See
http://www.moga.state.mo.us/statutes...1430000183.HTM
for the Missouri statute.
[Edited by Rich Ives on Nov 2nd, 2005 at 04:21 PM]