Do I qualify for any exemptions?

I'm a 21 year old student (in Machusetts) who's claimed as a depended, with one job where my total 2008 income will be less than 6,000. Can I claim exemption status (when setting up direct deposit for my paychecks) on either federal and/or state taxes? If I do this and aren't actually exempt, will I be penalized or simply have to pay the taxes at a later date? Or is there a way for me to have no money taken out of my paycheck or as little as possible and then just pay the taxes at the end of the year?