Watching movies is a great and fast way to learn vocabularies.

You can also read elementry story books for children.

Read more books.

I think that for vocabulary your best bet is to just memorize a lot of words using flashcards with some sort of spaced repetition. Make sure you have some context, like example usages or learning full sentences.

Kind of boring unfortunately. But it's much more efficient than listening to or participating in dialogue, especially if you're a beginner (can't follow the dialogue) or advanced (not many new words). But in other cases too, if you're asking for the best way, I'm afraid it's not equal to the most fun way.

That said, it's only effective if you stick with it, so if you can't, then try a more fun way, and accept that it's going to take longer.

I think movies could play a role, for example for practising pronunciation, but they're not optimal for vocabulary.

I disagree with Mark.  Straight memorization of vocabulary will not help you apply these words to daily use, nor help you to use them in a sentence.  Also many words have multiple meanings, idiomatic expressions and different phrasal meanings.  If you do not know how to use them, they will not be helpful to you.

But I do agree with Sunny.  The best way to improve vocabulary is to read, read, read.  Read everything you can get your hands on, especially things that are interesting to you.  Choose a book, magazine, newspaper, journal, blog. If you choose books, and you are lower intermediate, I suggest books listed for "young adults".  If you are a beginner, go in search of Penguin Classics which are simplified for English learners and ranked according to vocabulary level.  Choose a story you will enjoy so that you are motivated to keep with it.  Do not search for every new word in the dictionary, that becomes boring and frustrating.  Just keep reading!!  These words will become clear in context and eventually become part of your repertoire.  It will also help you to see how sentences and expressions are put together, clear up the usage of things difficult to learn like prepositions and articles.   The benefits are many.  Building vocabulary takes time and there is no magic trick to it.  Good luck and Happy Reading!