The first thing, is to take excellent notes. You should learn how to summarize what the professor is lecturing about. Don't worry about hanging onto the teacher's every word or you're going to miss the important things they might say which more than likely is going to be on the test. Instead, write down important key phrases and words in your notes for later use to study from.
You should make it a point to speak to your professor quite often after class, especially in the weeks leading up to the final exam. You need to ask them what you are supposed to know for the final exam and what chapters you should study in your book. During this one-on-one meeting, you are more likely to get more specific advice on what you should study. You should not only discuss the exam, but you should try to develop a close relationship with the professor and let them know you care. Ask them a question about something else that doesn't pertain to the class. Mention that you enjoyed their lecture during class. This will work in your favor when that professor is grading the final exams and giving out final grades. If you are on the borderline between getting a higher grade, they may remember your name or face and move you up to the higher grade because you were so courteous and respectful.
Your goal should be to a study a little bit of your notes everyday. You don't want to make it a marathon of studying everyday. Study just enough to keep your memory fresh on what's going on in the class. A wise person once used this analogy with me: "Study long, study wrong... study light, study right." You get the picture. This should apply to the way you study. Think about it. You wouldn't try to write that big midterm paper in one day would you? Of course not, so you should break up your studying into smaller study sessions.
In the last few days leading up to the test, you should study for short sessions all throughout the day. Aim to get around 3-5 mini study sessions for each class you have. It may be wise to get together with someone who has class with you and create flash cards in order to quiz each other on important topics and words that are going to be on the test.
On the day of the exam, remember to study light. Don't try to pull an all nighter. You need to get some rest to focus for the big test. Be sure to get a good breakfast and plenty of water. RELAX too!!! Don't stress over the test. If you have studied for the test then you should have no problem. When you get your test, put your name on it and read it over before you answer anything. You should try to answer any questions that stick out as soon as possible if you are certain you know the answers. Now go through and answer all the questions you know skipping the ones you don't. After you have answered all these questions, go back and answer any questions you had trouble with to the best of your ability. Look over your final exam a few times for mistakes and to see if your name is on and turn it in.