There are lots of variables, in terms of the band, venue, and music expected by the venue/audience.Once a gig is big enough with money to fund it, a PA company will have been engaged.
Guitarists, keyboard and bass players will still most likely bring their own gear and be integrated into the PA system, but us wind players don't as a rule - though a small speaker that my mate in the US refers to as a "hotspot" mounted on an ear height stand can be used as a monitor (I think that @thomsax was talking about these?). You may have a mic that you particularly like, and you can ask the PA guys to use this for you - occasionally they won't as they know and trust their own gear best.
Large setups can pose problems with space. With a large setup/big venue monitor speakers (foldback) are used. They sit on the floor and are angled upwards. They occupy the same space as your mic stand and music stand want to. The music stand also likes to be at a similar level to where your mic wants to be. Playing in a 4-piece horn section exacerbates all of this. You also have to find space for your sax stand if your are playing more than the one horn. Monitors are needed on the biggest gigs as you'll hear little of what is going on around you. A stage can be so big that there could be 20 - 30 metres (without pacing this out I might have underestimate this) between you and the player furthest from you on stage. Sound is directional too, so you'll be unlikely to be able to hear much of what the guitarist or bass player is doing.
Ways to improve this are learning the music and going without - fine if you gig with that band regularly. Using a clip-on mic - I prefer this anyhow as you aren't rooted to the spot, and if you have a wireless "bug" then you can go out front for solos and try out all of your moves.
"In -ear" monitors are the other way of tidying up on stage.
At the other end of the spectrum there are cafe or restaurant gigs.
@randulo was making this point - they are very often rather a dead acoustic and you can use a PA to give yourself a bit of reverb, rather than volume which I've never needed for a restaurant gig. If you are too loud you'll not be asked back. People like to talk. once they've finished their dessert, drunk a few glasses of wine and run out of things to say, you can maybe up the intensity and volume a little - often they will become an audience at this point. Some big restaurants have a multiple speaker system that you can tap into via a small mixer - this allows the music to be heard throughout the restaurant without having to blast those nearest to you.
Jazz clubs in the UK can be some of the least gratifying venues to play at with regard to sound. They always seem to be a really dead acoustic with a low ceiling. Often, bands play without a PA.
The long and short of it though is that you should never have to play as though you were the big bad wolf trying to blow a house down. If that is the case it could be poor technique, or the need for a bigger mouthpiece, to be mic'ed up, or maybe for some of your band mates being told to pipe down.
The variables are many.