I mean don't get me wrong, there is clearly some financial advantage to weigh if you live in a income tax free state. But most people (and I would have been one of them if I weren't actually taxed the way that I am) don't account for how these guys actually get levied state/city income taxes.
I personally am super annoyed by how my employer does it for me; I had to file 4 state returns last year; one for the bulk of time I worked from home (NC), the week I worked in Parsippany NJ, the 8 days I worked in Manhattan, the week I worked in MA while visiting family and the 4 days I worked in Philly.
But that's the way the cookie crumbles.
My dad has even asked why I bother filing in the states that I do given its usually for less than a weeks work. Unfortunately, when I submit my expense reports I have to ID the state/locale I was in to get reimbursed. Once I do that, my employer sends the State in question my tax docs/W2.