Pick up and work on a daily crossword puzzle. Start easy, and don't pressure yourself to finish the entire puzzle. The goal is to build your vocabulary, not necessarily to become skilled at crossword puzzles. Start with easy puzzles such as the ones offered in your local paper or the USA Today Daily puzzle. These will build your vocabulary with words that are easy to assimilate without causing you undue frustration. You can move on to more difficult puzzles as your vocabulary grows.
Start reading more. Choose magazines, websites and other books that you normally wouldn't choose, those that are a bit more academic or challenging. For instance, if you always read fiction, switch to some non-fiction books that are recommended by your librarian or reliable book reviews such as the New York Times Book Review. When you come across a word you do not know, write it down and take the time to look it up later. This will not only teach you the proper usage of the word, it will improve your cognitive skills through reading, researching and learning a new word.
Take a vocabulary quiz. Vocabulary quizzes such as those offered in the Reader's Digest or on radio programs such as "Says You" can improve your vocabulary dramatically by exposing you to words you might have never heard. They can also improve your confidence by featuring words that you already know. Of course, the reading that it takes to do these quizzes will improve your cognitive skills.
Subscribe to a vocabulary email. Emails such as A Word a Day or Word of the Day can help improve your vocabulary dramatically in a short period of time.
Speak your new words. This will reinforce your understanding of their context and meaning and help you remember them more thoroughly. The more you speak a word, the more it will become a part of your everyday speech.