Make up questions about the information before it is presented to you, and then try to answer them as you are reading or listening. This will help you to read and listen more actively and thus retain more information.
Take notes. Whether or not you go back and read your notes afterward, the act of writing more fully engages the brain and helps you retain information. When listening to a lecture or reading a text, jot down key and novel concepts.
Repeat important information out loud. Vocalizing the material and hearing it in your own voice are two additional ways to exercise your mind. The more ways you can find to approach the subject, the greater the likelihood that it will stick.
Create mnemonic phrases to remember lists. Think of a word or sentence that uses the first letter of each list item. Music teachers use a common example of this technique to help students remember the notes on the lines of the treble clef (EGBDF) -- Every Good Boy Does Fine.
Ask questions, or research any information you do not fully understand. It is much more difficult to remember facts or figures if the underlying concepts are not clear to you.
Test yourself, or have someone else quiz you. The best way to improve recollection and retention is to practice. The more frequently you attempt to recall specific information from memory, the better you will get at information retention in general.