I keep a piece of paper taped to the wall behind my computer and write new words on the paper as soon as I learn them. That way I can study just by looking at the paper. Even if I'm watching a movie, I can glance up once every 10 minutes and read every word and its translation. That's studying new words 9 times throughout the movie, without it even seeming like work.
Also it's good to try to learn new words in conversation as soon as possible.
Also, I like to associate certain new words with particular sentences/ideas. So when I remember the fact that I sometimes use English grammar when I speak French, I remember the sentence "C'est quelque chose d'anglais qui s'est glissé dans mon français." which means "It's something English that has sneaked into my French." Now I'll never forget "se glisser".
Also, if you can associate certain words with the situations you learned them in, that can be a great help. I have a friend who taught me the word "raccourci" which means "shortcut". Every time I talk to her, I remember the word.
Those are just some tricks I like to use.