What nobody has mentioned here yet is that actually horns (and I think possibly saxs) don't even quite play the same scales we guitarists do which, (if I'm right that saxs have the same problem) is why you guys don't sound good together. The natural differences in notes can be corrected only by the lip adjustments or bending/tremolo arm useage of very skilled players. I read somewhere that horn-players who can play in the more widely used scale system are more employable for ensembles etc..
You see the problem is that us guitarists use a tuning system called the "even tempered system" in which the every semitone change involves an equal change in note value (one note is X fraction higher pitched than the previous). This tuning system was favoured by Bach because it allows players to change between keys in a way that only changes one note at a time. A common alternative was that which is naturally easiest to produce when playing a Horn, a so called "harmonic sequence". Here the intervals in pitch are not equally spaced. This produces notes that sit together more comfortably together but it leaves a real problem for modulating between keys.
If you don't believe me read "In Measured Tones" by Ian Johnston, it's a fascinating book. At the time of writing ABE books have three copies of it so here's their URL: http://abe.com
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