I think the best way is not to learn the words, but to write sentences with them... Simply memorizing words is less effective, since a word may have several meanings, and it makes the whole language learning process boring. Of course, listening to songs and watching films also helps, especially if you don't use subtitles the first time, this way you don't get distracted by reading and can devote your full attention to what you hear. 

Noemi... You're right. Many of the new words we learn may be difficult to understand or remember. I always suggest using a 3 step process to understand the meaning and remember the meaning (definition).

Step 1 - read the defintions in a dictionary (I recommend http://dictionary.reference.com/)... and read the example sentences

Step 2 - look at the synonyms (click on Thesaurus in the above website). For example: two synonyms for the adjective "extraneous" is "extra" and "unnecessary"... easy to remember.

Step 3 - Write 5 sentences using the new word and ask a native speaker to explain, comment or correct.

In my opinion, the best way to improve listening and speaking is to hear many easy podicast. Podcasts you can understand; hear dialogues and stories making several simple and easy questions to answer.
I have used this method and have greatly improved my English, without effort, without study, only listening. It's fantastic.

From my experience, find a list of the most commonly used 500-1000 words in the language you want to learn. You will be surprised how often these show up in the fun stuff you do in the language...listening to songs, watching tv, etc.  It gets understanding a lot in a little amount of time.  

Listening to all sort of music you like it's a good tool. When you learn the lyrics you will always remember of the new words that you have been learnt. 

:)