Most bookstores and libraries have copies of test preparation books, which can be tremendously helpful in improving your vocabulary whether or not you're taking a test. Many of these books also have words that are commonly on the the test clearly outlined in the back of the book, along with their meanings and use in a sentence. Copy these onto flashcards and quiz yourself during your free time.
Many bookstores also have pre-made flash cards for both the SAT and GRE tests. Each test preparation book will have different words, so if you're serious about improving your vocabulary, it is worth it to use more than one brand and method. Take your flash cards and quiz yourself every morning over breakfast or every evening before you go to bed.
Old novels and plays often use larger words that have fallen out of fashion, but are still useful and recognized English words. Books such as Jane Eyre by Charlotte Bronte, Little Women by Louisa May Alcott or Moby Dick by Herman Melville will give you insight into the world of days gone by, as well as vocabulary of the day. Shakespeare also often uses larger words that are not necessarily used in common conversation. Keep a notebook by you and write down the words you aren't sure of and look them up online or in a dictionary later.
The Internet is a very useful tool when it comes to improving vocabulary. Websites such as vocabulary.com and freerice.com give you word definitions and quizzes to help you expand your word usage. Vocabulary.com also gives a word of the day, in addition to resources for people learning English as a Second Language and links to etymology websites. Freerice.com offers vocabulary quizzes that do good as well; each time you get a vocabulary quiz answer right, ten grains of rice are donated to the hungry.
Thesauruses help expand your vocabulary by pointing you toward words that are like other words. For example, if you want to say something is "big" but would rather use a fancier word, you can simply look up the word "big" in your thesaurus and instantly get alternative words that are much more creative and descriptive than "big." You'll be instantly expanding your vocabulary and writing more creatively just by purchasing a thesaurus at your local bookstore or borrowing one from the library.