As you probably know, internet offers endless chances of improving your listening skills: radio broadcasts, podcasts, videos, films, etc. Although, there are other ways of working your listening skills. The following is a useful tip.
If you have a recording and the text you want to work out, you can upload it to your mobile or mp3 player. Write down the text in your notebook, and search the new words. You can also print out or photocopy it, although it's much better to write it down.
Once you have finished, you can listen to it several times in the underground, in the bus or at home. At the beginning, listen to it reading the text, later do it without the text. This way you'll improve your listening skills and broaden your vocabulary.
Those who learn English, for instance, can work this way with Words in the News from the BBC Learning English. If you have the CD from a learning book, you can also work this way.
If you know more tips to improve your language skills, please leave a comment.