I received a check from for an entertainment gig with the taxes taken out of the check already. I don't have a W2 from them. How do I claim this?

You will need to get either a W-2 or a 1099-MISC showing the income and the taxes withheld from the payor.  You may also be able to find most of the information regarding the data that was filed with the IRS in a "Wage and Income" transcript here: IRS Transcripts.  You must have data to include the tax ID of the payor and a document showing taxes withheld to claim them.