If I want to do some soloing or whatever over a song or progression, how do I know what key it is in? I know for some things Its just the first chord in the song, but It doesnt always sound quite right. Help??
If you know your scale patterns, you can identify the key that way, also. For example... I know that the 3rd and 4th note are one fret apart in the Ionian Scale (Major scale) as are the 7th and the 1st. If I see two notes together like that, I deduce at that point that I've either seen one of the two patterns above. Of course I'd have to further analyze the progression in order to figure it out which ones I observed. If you know your scales, you should be able to pick out the keys at that point. Hope that makes some sense and hope that helps you out.
If you don't have a sheet of the song, then use your ears. Just try to hear the tonic chord of the progression and find it on your instrument. Then try to recognize other chords in the progression.