Kat - to add to those ways above of finding the key, there are a couple more: if you're one of those lucky few who have perfect pitch, and have trained your mind to assign a designated key to those pitches, you can tell right off.

Also, in the old-timey and bluegrass areas, there are certain tunes that are traditionally played only in certain keys; like Orange Blossom Special in E & A, and "Foggy Mountain Breakdown" in G. If you know those keys and launch into such a tune only to discover the rest of the crowd is playing it in Eb, then you can assume a pained, distainful expression and say, "That's not the way, Bill (or Earl, or Ralph) did it!" and stomp off !