This is actually a book for vet techs, but I highly recommend
Colville "Clinical Anatomy and Physiology for Veterinary Technicians"
It has a lot of diagrams, and there are side-note type boxes w/ clinical applications throughout the book. I especially liked the clinical applications because tying the factual knowledge to a real case scenario really helps me. There are also "test yourself" questions throughout the chapter which I found really helpful, especially because they are spaced out and pertain to the reading immediately preceding them, rather than having 50 questions at the end and spending half of your time just trying to find where in the chapter they talked about a particular concept.
(Just as a note though, I have the 2002 edition. They just came out with a new one in 2007 or 08, but I'm sure it's probably set up pretty similarly.)
I also found out from anatomy that the best way for me to learn the bones/muscles was to actually touch them and say their names as I was doing so. So I would definately try and get my hands on a skeleton or two (I found it helpful that we had full cat and dog skeletons, and even horse and cow bones--actually, there was a whole horse set up in one of the other classrooms in our building that I looked at a couple times.) Of course for muscles, you would have to be dissecting something at the time...
And one more suggestion would be to take some time before each test to make your own study guide. Just skim through chapters and create questions. Don't write down the answers. By doing it that way, you are refreshing your memory as you make the questions, when you answer the questions, and then again if you have to look them up because you are unsure. I sudied for my anatomy lecture final this way, and ended up with a 100% on it!!!
Anyway, sorry for such a long post... hope it helps you out though!
Good luck!