Here what I do with Spanish and Portuguese:
1. Use a website like lingq.com or find podcasts in the target language. Movies, speeches / interviews on youtube are also good.
2. Run the audio through audacity. (You can slow it down, speed it up, have it automatically play the same 2, or 3, or 5 second portion, etc.)
3. As I'm listening to the audio, I type what I'm hearing into a word document. I make a note of the time index of the portions I don't understand.
4. Find out what is being said during those portions, go over it with a native speaker if necessary.
And here's the key:
5. Make audio flashcards with Anki.
I find this method to be the most powerful to improve listening. You're constantly training your ear to go over just those portions of the language you didn't understand.
You'll be amazed at how quickly your listening comprehension improves.