My Guitar is tuned to E !
Most guitarists are under the misguided impression that their standard tuned guitar is tuned to the key of E. If this is you, then you need to read the rest of this article. What you should be saying is Standard Tuning, Drop D Tuning, One Semitone Down Tuning or something of that nature.
     Because the guitar is unique in it's ability to tune up and down semitones or tones at a time, using a drop in overall tuning or the use of a Capo, then guitarists use this lazy way of describing what tuning they are using.

I'm tuning down to Eb !
Many rock bands including Guns N Roses are famous for tuning down one semitone, presumably to allow the music to appear more ballsy and deep. This is often misrepresented with the phrase,
" tuning down to Eb ". Sure, the E strings go down to Eb, but the instrument goes down from the key of C major ( concert pitch ) to B.

I've Got Wind
Most other instruments, especially wind instruments, have very limited tuning adjustment. Sometimes only a semitone. This is usually achived by a slide which has the effect of making the start of the tubing longer, near the mouthpiece. It is often complicated and difficult tuning a wind instrument, as the tuning is adversley affected by ambient temperature, and the control the musician has over his or her technique.
  Also, the wind instrument doesn't always tune in a linear fashon, some notes with certain fingerings may be sharp, while others may be flat. In a brass instrument with valves this is especially true, as different fingerings add different lengths of tubing to the whole length, and sometimes these need adjusting too. In large Tubas, there is also compensation tubing, which adds a very small amount of extra piping to certain valve combinations.
 Some small brass instruments, Soprano cornets, Trumpets etc., have triggers built into certain tuning slides, so that a soloist can tune certain notes to perfection, during a performance. Indeed two notes using the same valve combination may need a differing trigger setting, for both to stay in tune.

Differing Instrumentation Keys
Wind instruments fall into two main groups, the Eb section, and the Bb section. But there are also a few odd ones too. If you've only ever played a guitar, the difficulty and apparent pointlessness of this fact probably hasn't hit you yet, but I've put some reasons for it later.

The Trumpet
Is always in the key of Bb. When you play a C note on a trumpet it comes out as a Bb. When you play a G minor scale, it comes out as F minor.

The Alto Saxophone
Is in Eb. When you're playing C on your Guitar, It's the same note as an A on the Alto Sax. If you play an E major scale on the Piano, the sax would have to play C# major to match your notes.

  Making a wind instrument play in the remote key of C# major is a bad idea. This is a remote key, and has seven sharps, which would be unusual for the musician, and most likely to make mistakes. But the main reason would be that the instrument is tuned for simple keys with up to 3 sharps or flats. Sticking to these keys would make the instrument sound richer and smooth. The intervals between the notes would be more accurate.

Consider this table Below :-

Using the table, it is possible to get a whole orchestra tuned up together. And to test a range of notes.
And even to try out chords across sections of the orchestra.

Now Can I Tune My Guitar To E ?
The normal layout of a guitar's six strings are as follows, Lowest string (6) - E, Next String (5) - A, String (4) - D, String (3) - G, String (2) - B, Highest String (1) - E. This, of course, is concert pitch.

If You Really, Really wanted to tune your guitar to E, then you would be able to play a standard C major chord, and it would come out as an E major!
Your E strings would have to be tuned up to Ab, A up to C#, D up to F#, G up to B, B up to Eb, and don't bother tuning your guitar up this high, because your first string will snap, and the neck will bow forward by 2 millimetres at the nut.

The music is already written out, by the time you are sat down.

If your Eb instrument is playing in Concert Pitch,
Then the Bb instruments will be playing in F major ( one flat ),
The French Horns will be playing in Bb major ( two flats ),
and the Flutes would be in Eb major ( three flats )

Same Goes For Keys With Sharps,
If Eb instruments Are in D major ( two sharps )
The Bb instruments will be in G major ( one sharp )
The French horns will be in Concert Pitch ( no flats or sharps )
And the flutes will be in F major ( one flat )

As I said earlier, the remote keys should be avoided, therefore the Eb instruments shouldn't go for keys with 2 flats or more as that would put the flutes into 6 flats ( horrors! )
The keys should remain in the blue area, which would leave the Eb instruments tending toward sharps, and the Concert pitch instruments ( Flutes, Piano ) tending toward flats.

Conclusion For Guitarists and Song Writers

If you are intending to use a live horn section in the studio or on tour, then make sure that your music is written in a friendly key for them, and they will sound great!
Try to use :-

Bb Major Leaving Trumpets/Trombone in Concert Pitch ( C major ) and Sax in ( G major )
or
Eb Major Leaving Trumpets/Trombone in ( F major ) and Sax in Concert Pitch ( C major )

Second Choice would be Ab major and F major
Last Choice would be Concert Pitch ( C major ) or Db or Gb major

Any other keys will sound discordent and strained

One of the most obvious questions is why do instruments have to be in differing pitches anyway? surely it makes life much more difficult!

There really is not one straight answer to this.

1) Consider the rich sound of a large choir of good singers. This sound could never be matched with one singer and lots of electronic chorus equipment. The quality of the sound depends on different tones, vocal ranges and voice types adding up to make an organic sound with an infinite number of variables, but it's own distinctive sound.
 Likewise, an orchestra with different pitch groups, as well as varying types and sizes of instrument, will always sound superior to a large bunch of school children playing the recorder.

2) Wind instruments are mostly Eb and Bb. The Eb ones may have come about because of the preference of the Eb major key by practitioners of the art of freemasonry. Eb major has three flats and is therefore the mesonic key. Many important European composers and musicians over the last 300 years have been suspected of dabbling. And as a consequence, there are many more pieces written in Eb major than any other key.

3) As instruments spread across the musical range, the ones in the same key group are octaves apart. With different key groups, then the gaps between the octaves are more smoothly accomodated.

4) If you compare the table of instrument groups, with the Key Signature Orchestration Chart, then you can see that the Eb group is adjacent to the Bb group, Then the french horn, is next to the concert pitch instruments. This set of four key groups is fixed so close, so that the music writing doesn't get into remote keys.
Also presumably to smoothly spread the resonant part of the range of each group into the next.