I don't make any money in Virginia besides stocks. I play in Maryland and make my money there. Do I not pay Virginia state tax?

You will have one federal return and two state returns, one for Virginia and one for Maryland. Any money you make at a casino in Maryland will need to be reported on a Maryland state return. You most likely also must report this income to Virginia, but should get a tax deduction for Virginia on any tax you paid to Maryland on income earned in Maryland. I am not too familiar with either state so there could be some other issues. If you received W-2gs or 1099s in Maryland they will definitely be looking for your state return.

I am not a tax expert and definitely not familiar with either state. I would definitely consult a local CPA to help file your returns, especially if the money won is at all significant.

I would definitely check with a local tax preparer about this, but I'm pretty sure Maryland and Virginia have tax reciprocity with each other, meaning residents of one state are not required to file NR forms if they earn their income in the other state. In other words, you should be OK if you just file a Virginia return. I've prepared taxes in PA which had reciprocity with other states, but I have not specifically done taxes in MD or VA.