Well...I hate to sound pedantic...but here goes.
I took a Cognitive Psychology class last summer and here in a nutshell is what I learned about the way our memory works:
Essentially everything you've ever read, seen, heard, felt, etc. is somewhere inside your brain. When you read something the information is there permanently...the problem is getting to it when you need it. In more technical jargon, you have encoded information that you need to decode.
The success for decoding information from your brain increases when you have used more than one method for encoding it in the first place. So, like lots of people have already said, they type up key points from their notes or from the book. That is, they encoded by listening to the lecture or by reading the text, then encoded the same info again by typing it up, which is slightly different.
However, there are other ways to encode the info. Tactile memory has proven to be one of the best ways for decoding information. Simply tracing out physics formulas on your leg can help you remember them because they become a pattern that you remember by touch. The more senses you can incorporate into memorizing something, then the greater your chance of recalling it later on. Since I took this class I have used the multiple encoding method and it is like a miracle. But it does take more time, so that is a down point. But if you're not naturally brilliant and you want to go to medical school (someone like me), then you just have to do what it takes.
Other than this, just remember to break up the info into small, manageable chunks. Quiz yourself a chunk at a time until you know the chunks without stopping to think for too long. It's good to know the big picture, but come test time you are usually tested on the chunks more than you are on the whole anyway. Each question is like a chunk, I guess. OK...I'll shut up now.
JJ