It depends on a particular case. If there is a certain income you have to prove, submitting tax returns wouldn't hurt.
In case of self-petitioning for EB-1 EA, where there are no employment/income requirements, tax returns may not be necessary, especially if all the other evidence is strong. Unless you claim "high salary or other significantly high remuneration in relation to others in the field" or "commercial successes in the performing arts" as some of your eligibility criteria.
Hope this helps. Good luck!