When I write show reviews, I try to be prepared going in. If at all possible, I'll buy a copy of whoever I'm reviewing's latest album and give it a few spins before going to the show. My dirty little secret is that I'm not an expert of each band I see, but I try to compile a set list anyway. For me (and I'm sure other rock critics as well), if I don't know a song I usually write down a few lyrics and Google them or use the lyric sheets with the CDs when I get home. For the Shout Out Louds, I was close enough to the stage that I could see the set list near a band member's feet and a very kind stranger shared his set list with me for the Arctic Monkeys show, but usually that's how I get by.
The New York Times' Jon Pareles has a different method for identifying songs that makes us all look like amateurs. A blogger from Wired caught up with him at CMJ during set by Dragons of Zynth and noticed Pareles's unusual method of taking notes. Pareles explained to him that he had the Dragons of Zynth CD on his mp3 player and was writing down the basslines so he could identify those songs later.
Here's the photo they snapped of his notepad:
Assist goes to Idolator, of course.