By far the quickest way I know of to improve is simply to listen to your own playing. Recording yourself will highlight a whole host of things, both good and bad, that you just won't be aware of when you're actually playing.
Long before I was any kind of player, I always felt I had a passion and understanding for the music. I could listen to players who were definitely further along the road than I was, but felt sure that I knew what could be improved in their performances.
I could never understand how it was so obvious to me what other people needed to work on but I was never sure what I should be prioritising when it came to my own playing.
The reason for this is that you are often too close to, and too involved with your own circumstances to be objective. In performing, you are often too wrapped up in the creative process and too focused on the minutae of what you're doing to appreciate fully how you sound in the context of the tune, the balance of the ensemble and the performance as a whole.
Recording yourself allows you to 'step back' from the act of creation and review your performance more objectively - hearing yourself as a listener not a player. Once you start to understand how listeners and your peers are hearing you, you will start to see what should be the next priority in your development.
So without further ado, here is the PlayJazz guide to getting the most out of recording yourself:
Record Everything
Gigs, rehearsals, jams, practice sessions - the more you can listen to yourself playing, the better you will understand where you truly are as a performer. Also, recording yourself a lot will even out the natural fluctuations caused by those 'good days' or 'off days' that randomly seem to affect us all from time to time.

I started out recording myself using tapes (remember those!?) and then moved to a minidisc recorder, but today's technology makes it easier than ever to grab a rough recording of a performance. Whether you use a minidisc, a digital recorder, a laptop, a dictaphone, an mp3 player or even your mobile phone, make sure it's always with you and put to good use.
It's not important to record in brilliant quality - you're not making an album here. All you need is a good idea of your overall sound and how you fit in with the ensemble if you're playing in a band situation.
Don't listen to a recording straight away
So you recorded the gig and decide to listen to it in the car on the way home. This is probably the worst thing you can do if you're intending to be objective about your own playing.
If the memory of the performance, of actually playing those notes is still fresh in your mind, you're not going to listen objectively. You'll be overly focused on your own playing, you'll only pay scant attention to what the rest of the band is doing and you'll magnify all the mistakes in your own mind becuase you can still actually remember making them.
It's much better to wait a couple of days before listening back to a recording of a gig, rehearsal or jam session as you'll be farther away from the physicality of playing that music and will find it easier to see the bigger picture.
The same principle applies if you've ever been in the studio and tried to mix on the same day as recording a track - it just never works because you're too close to the music making.
It's fine to listen back immediately to recordings of your solo practice, as you obviously need that immediate feedback to see if you're on the right lines. However, it's also a good idea to revisit personal practice recordings after a couple of days and see if you still feel the same about what you were doing. Sometimes you'll get a pleasant surprise and you'll sound better than you thought. Other times you'll find things to work on that you didn't notice the first time. Either way, the same principle of objectivity through distance applies.
Don't just listen to yourself
When reviewing ensemble playing, it's important to listen to the whole band - not just you! One of the key improvements you can make through recording band performances is to understand how you can fit into the ensemble better. Hearing yourself in the context of the band sound is probably one of the hardest things to do while you're on stage - especially if the acoustics in the room aren't great or the on-stage sound isn't the best.
Try to listen to the band as a single unit rather than the collection of individuals you know it to be. Do you complement the overall feel of the ensemble? Are you playing too much? Are you playing in the appropriate style for the material? Is what you're doing adding to the big picture? Does the audience buy into you as part of a collective musical entity?

This is especially important if you play with a lot of scratch bands. The keys to this type of ensemble is being flexible enough to fit in with the other players on the gig.
If you're a pianist playing with a mainstream singer, this probably isn't the place to showcase all your cool fourth and altered dominant voicings. Your job here is to support the vocalist in the style they sing in - not to prove how brilliant you are.
If you play in a different style from the rest of the band, no matter how well you play, the audience won't buy into the ensemble as a whole and they will blame you for not fitting in, rather than the band for not being hip to your style.
Don't be too hard on yourself
If you're listening to yourself in order to see how you can improve, it's important not just to listen only for your weak points and beat yourself up for things that go wrong. Make sure you acknowledge every aspect of your performance - the good as well as the bad.
Remember, the goal of listening to yourself is to point you in the right direction. The purpose here is not to judge or blame yourself for not being as good as you think you should or want to be. Chances are, there will be a lot of things on the recording that you are doing really well and it's hugely important that you don't take these for granted. Remember, there was a time when you couldn't do the things you now consider easy.
Another good tip in this regard is...
Revisit old recordings and feel good!
A good way to feel better about where you are at is to remember where you've come from.
Revisiting old recordings is a great way to highlight how much you've improved. Listening to a gig from 6 months ago and knowing that you're a better player now is very satisfying as it proves that you are making progress.
Realising how far you've come proves that you're only going to continue to improve and can give your fragile musician's ego a boost.
Always remember that you may well be a better player in six months time, but you're also a better player now than you were six months ago. Listening to your past performances will help you avoid driving yourself crazy with negativity and give yourself credit for what you have accomplished.
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If you're not already recording yourself, I hope this post has persuaded you how useful it can be. It's been really helpful to me in the past and is still the best way I know to assess my playing accurately. Good luck, and see you next time...
Definitely, I need to record more, and I need to practice more... When I listen to own recordings, I feel 'the rush' (the rush to improve that you explained some posts ago).
Don't you think the better musician you are, the better you can evaluate yourself? Probably, most uneducated audiences can't tell the difference between an average jazz musician and a better one (excepting that the better one can play faster).