Each score is usually around 200 pages long and includes all of the songs as well as scene changes, dance numbers, and any incidental or underscoring that the show needs. Almost all of the time, the pianist or music director (or in many cases the pianist/music director) has to play out of a score called the "conductor score" or what is known as the "piano reduction". This score usually has the vocal lines as well as the entire orchestra part jammed into the piano. The reduction is usually written out by an arranger (although Bernstein made his own for West Side Story) and are often very difficult. They usually have giant chords, unreasonable hand-spans, lots of activity, and are really fast. And did I mention how long the scores are?
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As you can imagine, playing one of these scores can be a lot of work, and when you don't have a lot of time to practice them you need some tricks to learn the score quickly. These are some of the tricks that I have used in my 5+ years of playing and teaching musicals.
Make your cuts early
If you're going to make cuts in your score, to keep the songs tighter, the dances less frilly, and the scene changes shorter; make your cuts as early in the process as possible. This will make your practice time more productive and you'll be clearer with the choreographer and performers as well.
Learn the vocal line and the bass
You'll have to figure out what needs to be played. If you're working with adults or strong adolescent singers they can make their way without their notes being played. If you're working with kids though, or you're really crushed for time, learn to play the vocal line plus as much of the left hand as you can. This may mean just the single note bass line, or if you can simplify any chordal patterns in the left hand that will work even better. Often this vocal line + bass technique means that you're ignoring a line of music that is normally meant for your right hand. The act of ignoring the thing you normally watch is tricky at first, but this widening of your eyesight is helpful for all sort of score reading exercises.
What else needs to be played?
Let's say your singers are strong, or you're working on a dance number. If the singer doesn't need melodic reinforcement it allows you to play more of the harmonic and rhythmic components of the accompaniment. If there is an instrument doing something important (listening to a recording can help a lot) that should be played, but often just getting harmonies and a backbeat into a piece can really fill it out. If all of the accompaniment looks easy enough on its own I'll just play it as is. If I'm spending a lot more time than I want to be working on a particular song I'll focus only on the most important parts. I just finished played Wizard of Oz and found that a lot of the left hand was marked with a "boom-chuck" style of writing. That means a single bass note on beats one and three with higher chords on beats two and four. The right hand was playing chords with the melody note on top, but the chord notes were also included in the "chuck" part of the marked left hand. Because I didn't have enough time or patience to work the entire thing out (the music all moved crazy fast) I divided the left hand part between the hands and fleshed the chords out a little bit more. This worked for a lot of the music but not all.
Know your orchestra
What kind of orchestra do you have and what are their skill levels? If you're working with a professional orchestra and you know you'll have most of the parts covered, you can probably just play out of the piano score anyway instead of the reduction. Otherwise it's useful to go through your score and mark which parts can be covered by the people in your pit. This is especially helpful in dance numbers where the reduction score can have you jumping all over the keyboard. You have to know who has the melody line and when. That way you can avoid doubling someone's part and more importantly, doing work that you don't need to do.
If you go into this process planning on playing the whole score in one way, you'll be wrong. You need to be able to go from playing the melody, to dividing the left hand, to playing sound effects all within a couple of measures of each other. If you're the music director you know when to do this stuff. If you're just the pianist, the director will probably be asking you to do these things every rehearsal.
Raid the office supplies
My musical scores are cover in pencil markings. There are arrows pointing to which parts I need to play, circles around tricky passages, notes written in, repeat markings, cue lines and so much more. Paper clips are really handy for pulling together pages that you'll be skipping or particularly large cuts. Post it notes can be good for quickly moving between numbers that aren't next to each other.
Leave clear notes to yourself
Shows are long and your music will go through many iterations. Cuts will come and go, cue lines may disappear and reappear. It's good to leave really clear directions to yourself about what's going on on-stage and what to do in the music. I often make detailed cut sheets when I'm directing that I can then share with the orchestra and refer to when I get confused. Also, the clearer you make your notes, the easier they are to refer to when you revisit the show in the future.
Don't over practice
This may seem like silly advice from a piano teacher, but if you're in a situation that can change quickly then it's not the best idea to practice these reduction scores as if they were Liszt. The first time I prepared a score like this I practiced until my hands hurt and then discovered that I wasn't going to play the way I had been practicing at all. I play songs and dances from a show differently all the time. That doesn't mean that the performers can tell I'm doing it differently, but I may divide the parts slightly differently between rehearsals, play a little less melody and more rhythm, or cut a section from a scene change. The last thing you want to do though is spend an eternity on difficult scene change only to have it cut in rehearsals.
Analyze, analyze, analyze
The better your theory skills are, the better you'll do with one of these scores. By doing quick analysis on the fly you can reduce a big clumsy chord to nice manageable size in the left hand and still play the melody while you're at it. You can decide which notes are necessary and which ones can take a hike. You can also make cuts more easily by knowing which parts of a song work well together.
Playing these scores takes a lot of practice, but not in the same way that other music does. I spend a large amount of my time analyzing the music and figuring out how I can simplify it. Once I do that I don't have to spend as much time fumbling through the notes. They take work, but playing an entire show is a rewarding experience and a great chance for expert pianists to learn some new skills. Good luck!