First of all, google is your friend. This is something that has been studied by many people, and many effective are available for you to use. For example, I happen to like the Method of loci which I use to memorize the main points of speeches and lists.
Different people like different methods, and there's a buffet of effective methods to choose from. Again, google is your friend.
That being said, here's the psychological answer:
If you want to increase your long term memory, you start with the theory of memory. Our brains remember things that are important to us, which means that either the information has perceived value or emotional content.
Emotional content in lectures is hard to get in a college setting - it's an aspect that good lecturers use - but you can use tricks to increase your retention. Get together with some friends and make up a "game" of reviewing the information. Play Jeopardy, make up funny physics stories, try to make puns from equations... anything that causes you and your group to laugh or think deeply will do. For example, how would "Ming the Merciless" destroy the Earth using magnetic fields (from your recent physics lecture)? Analyze it tongue-in-cheek with your friends to see if the idea is viable.
High value is anything that will get you towards your goals, but you can choose your goals. Pick an appropriate goal and you will sop up information like a sponge. Imagine starting your own company... what's your dream situation? All the MBA classes you are taking will now have new meaning: everything you are taught will cling to that goal like ornaments on a tree. Resolve to be an amateur astronomer who discovers a new comet, a teacher who wins "teacher of the year", a writer that wins a Hugo award... dream big and convince yourself that the information will get you towards that goal.
Learning is actually fun, and it's something your brain is evolved to do. As a consequence, and as a survival trait we get pleasure from learning. If you can tap into this basic function, you'll find that learning is both fun and easy.