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I've started learning saxophone three weeks ago. I'm having really good fun with it and I play it whenever I can.

I already play drums, bass guitar, and trombone so I know a bit about music, but not so much about sax. Are there specific things I should absolutely learn---some good exercices that could get me to improve my sound or my technique? Are there any extended techniques that could be fun to learn?

Thanks!

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Your question seems a little broad. What are your goals with the saxophone? Are there specific areas where you feel deficient? –  Andrew Aug 19 '11 at 22:55
    
Well, I'm quite new to it and thus a lot of things could be of interest, but yes, it's a broad question, as I don't really know what could be interesting / fun for an eager starter. Slap? Is it too difficult? Try some harsh exercices to improve technique? and if yes, which ones? –  Alexis Métaireau Aug 20 '11 at 16:33
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If you were my student, I would have you begin by working on your basic sound. I am presuming that you are playing alto saxophone and have already found suitable equipment (instrument, mouthpiece, and reeds, along with other needed accessories) and are able to get a sound generally.

Start by playing only the mouthpiece (with reed, of course). Make sure you are somewhere that you can play loud without problems. Play a fortissimo note, and sustain it, trying to keep the pitch from wavering. Once you are making progress on that, try to achieve a concert A (on piano, it would be the A just above the treble staff) on the mouthpiece. The pitch of the mouthpiece is mostly controlled by the position of your tongue within your mouth and also somewhat controlled by your embouchure (the muscles of your face that control the lips around the mouthpiece). It is difficult to generalize without hearing you and working with you, but if your pitch is too high, you usually need to lower the tongue position and perhaps slightly loosen your embouchure. If your pitch is too low, raise your tongue position and slightly tighten your embouchure. When I talk about loosening or tightening the embouchure, imagine the embouchure as a circle around the mouthpiece. Make the circle smaller to tighten the embouchure or larger to loosen the embouchure.

You will likely need to return to the mouthpiece alone at the start of each practice session and possibly several times throughout your practice session. But, once you have worked with just the mouthpiece for a short time, put the mouthpiece back on the instrument. Play the same way that you played with the mouthpiece alone. Make sure that the mouthpiece is pushed onto the cork to a position where the saxophone will be approximately in tune (written F♯ on the fifth line is good to try to tune to A440, provided you are using A440 as a pitch standard).

The best thing you can really do is to find an experienced saxophone teacher to help guide you through this process, as it is much easier to go through it in person than through a web forum such as this one.

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+1 for all about tone. The saxophone's mechanism does a lot of the work for you, but as a result makes it the easiest instrument to play badly. Working on tone and sound is the best way to counter that. –  NReilingh Oct 28 '11 at 6:58
    
Absolutely all about tone, and that's a very difficult thing to teach after the beginning stages. I also second the experienced sax teacher. A good place to start might be a college near you that has a music program. Any good second-year and up music education major who plays sax as a primary instrument will be able to take the original asker quite a ways, until they are comfortable paying/traveling more for a more experienced teacher. –  Josh Fields Oct 28 '11 at 17:13
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