I try my hardest to listen for the "1" of the song...that usually gets you close enough from there.
I primarily use this method. Just tap a couple of keys to find the "1" chord or note.
Usually finding the "1"
chord helps me to establish the key faster. The reason being, that the first note of the song is not always the key of the song, but it's usually a note in the "1"
chord.
Having a bass player to help you is great, but that's not always the case. So learning to develop that ear is essential to flowing with the music.