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<<So if I make less than $4300 for this year I still can't claim myself?>>

 

I'd lose the expression "claim myself".  it's really about whether someone else can claim you. 

 

it depends if someone else CAN claim you.  Are you living with Mom? are you living on your own?  who is paying more than 50% of your support? it gets a little more complicated.  Over $4300, it's easy, no one else can claim you,.

 

<<So all the tax withholding that comes out of my check doesn't go to me, why?>>

it does go to you.  you determine your tax liability. gif liabilities are higher than withholdings, you owe the difference on April 15.  if withholdings are higher than liabilities, then the difference is refunded to you.