One will type the city name in and the vlookup will give a list of all of
the city/states that will have that name with their zip codes (am i asking
too much?)

VLOOKUP returns only 1 value.

To and the other will be simpler... enter the zip code (5-digit) and
the city will appear with that zip code.
SOOOO... is there an easy way to have it reference all of the worksheets to
find the correct zip code or city/state?

No, you would need one formula for each worksheet.

To accomplish either of these tasks would require VBA macros.