An additional favourite of mine that I haven't often seen mentionned is using audiobooks supported by the translated version of the book in your mother tongue.
Someone had given me some youth literature in the form of audiobooks in German, which is what I was trying to learn. I tried to listen to them, but I was at the A2 level at the time and couldn't understand much. I personally DO NOT find that listening to something you don't understand to be much fun. I find that it's frustrating and I rather quickly tune out despite best intentions. So I went out and bought the same book ('Tintenherz') in English translation at a second hand book store. I read a few paragraphs...Ah OK! So that's what it was about!! Then I went back and listened to it again in German, stopping after each sentence (Note: In general when listening, I find that it's not necessary to listen to a slowed down version to understand. You can listen to a normal speed recording as long as you stop after every sentence to give yourself time to think and analyse. Doing this, you can double your comprehension). Knowing the storyline, and stopping after every sentence, I found I was now able to follow and understand very well even without having the paper copy in front of me. I would do sections multiple times when I was out walking the dog, or when I was walking home from work.
I find that listening to audiobooks in this way is more fun and entertaining than the vast majority of language learning activities. It gives you tons of LISTENING which is a very important element that's lacking for many of us. I often try to repeat sentence by sentence, which leads you to really pay close attention. You hear basic vocabulary and sentence structures over and over and it's a fantastic way of improving your knowledge of the language. I highly recommend it!
For me, I tend to keep involved in the entire discussions on different websites, listening to audio clips with transcripts and communicate with language partners.
I am madly in love with the Pimsleur cds. Some people may find them boring as you repeat the same words and sentences a number of times in each half hour lesson. To me they are great, they don't go to fast and they use native speakers, unlike the Michel Thomas cds, which I hate, as they have learners doing a lot of the talking.
I also like listening to songs, doing a bit of Skyping and watching a movie from time to time.