If you are playing rock music (jazz is a whole other game), most of the songs are in E or A, sometimes G or D, and once in a while a song will be in B. Then you have to transpose to your horn. On alto, I have to transpose by going 3 half-steps down from the guitar, bass, and keyboard, so my most common keys are (in the order above) C#, F#, E, and B, and once in a while Ab. So I always try them first. Also, when you're playing with other people, there's no shame in asking them what key the song is in. Then you just transpose accordingly.
