Reply #2: Illinois.

[Peregrine Took]

EXEMPTIONS FOR RETIREMENT INCOME (Wisconsin)
Generally, the same amount of your pension and annuity income that is taxable for federal tax purposes is taxable by Wisconsin. Social Security and Railroad Retirement benefits are not taxable. Certain Wisconsin state- and local-government retirees qualify for a tax exemption, but out-of-state government pensions are fully taxed. All retirement payments from the U.S. military employee retirement system, the Coast Guard, the commissioned corps of the National Oceanic and Atmospheric Administration, and the Public Health Service are exempt. Retired people whose income is less than $10,000 ($19,000 if married filing a joint return) are also eligible for a “working families tax credit.” This credit reduces or eliminates the Wisconsin income tax for people, including retirees, who are full-year residents of Wisconsin. You don't have to be employed or have more than one person in your household to claim this credit.

From Kiplingers' Guide to State Income Taxes, 2009-2010

(Retired State of Illinois employee.)