Prepare - Before you go to a lecture, be sure you've read any assigned reading particularly the concerning text in your study book. Go to class a little early and review the key points of the reading.
Be on time. Instructors often dislike having students walk in mid-way through a lecture, and you will have missed material. Some instructors intentionally base their lecture on statements made in the first few minutes to force students to be on time. Some faculty also give key information (such as test dates) at the beginning of class.
Take notes - Always take copious notes. See Taking Notes for tips.
Ask questions - If you don't get something, ask. When you ask, state what you understood the teacher to be saying, then ask whether you got it right or not. In this way, the teacher will be able to detect what exactly you don't understand and clarify it for you.
Think ahead of the teacher - What are the implications of the things they are telling you? Teachers like to steer their lecture on a subject towards the next topic in order to make a smooth transition, and thinking about the implications may give you a head start on understanding that next topic.