As a guitarist, you will find that you have to focus more on chords. Guitars are better suited to playing chords, pianos are better suited to playing scales. Guitars have become the world's most famous instrument largely through the introduction of jazz (and, subsequently, blues, rock'n'roll and other genres) to the Western world. How you approach your instrument also depends on the genre(s) you play in. Jazz progressions and scales are usually more chord-based than classical ones. Composition-wise, not all genres employ key changes. Even classical music sometimes doesn't jump out of the confines of a particular key. In fact, you should not expect too many key changes within most classical works before the 20th century. You will probably hear them a lot in modern classical and jazz music and extreme genres like mathcore, but not in "older" classical music or the more "primitive" genres, like punk rock and grindcore.
What Tim refers to as the "circle of fourths" you will find is called "the circle of fifths" when it comes to classical music (it's the same thing, just clockwise).
Of course you should not discard music theory, but don't beat yourself over the head with it either. I started out as a percussionist (drums, xylophone, kettle drums) when I was a teenager and had played for 8 years ignoring my teacher's attempts at teaching me theory. I felt the effect the moment I started playing saxophone. Now, the saxophone is less complicated and more linear compared to guitar, as it is a monophonic instrument, but I would probably want to kill myself if I focused on the fact that I have to play 84 scales from memory too much.
Scales are meant to prepare you for improvisation later on. The idea is that you will have them down your fingers so well after playing the instrument of your choice every day for a number of years that you will be able to go over them "intuitively" while everyone else is playing within the same (or a related) scale.
Scales can also be a wonderful tool in musical composition. For example, you might make your 12-tone neo-classical composition more interesting if you have one instrument play in C natural major and another one - in C# pentatonic major. Those scales only have one note in common (F), so you will have plenty of room for dissonance while also segregating the chromaticism into 2 separate parts.
I've only scraped the tip of the iceberg here. The question you ask is a big one, and I hope my response will help you see where to go from where you are at the moment.