First of all, you need a
true motive to
learn your
chosen subject. There is
no point trying to learn it if you feel you have no
reason to, as your mind will simply
wander off to other areas, and you'll never get
anything done. If you have no
interest or
ambition in the subject, you shouldn't be
considering trying to learn anything in it. Find something you
enjoy, or find some real motivation -- if you want to
study the subject to get into a
job, bear in mind that the job will require use of the subject, so if you hate the subject, you will hate the job.
Once you have a subject you enjoy, you need to know how to study it - this will be different depending on what you'd like to learn, but it's important that if the subject is of a scientific discipline (maths, chemistry, physics etc) that you not only know the content, but you understand it. There's nothing worse than having to learn a subject 'parrot fasion' firstly because you will never get an insight into why what you have learned is true, and also because it bring on the feeling that you will never understand it, which leads into a downward spiral of futility and disinterest (case in point is my chemistry course, where we're led to feel that while the stuff we learn is easy, the reasons behind it are suitable only for degree level, and we think "god this is complicated". My chemistry grade is 30% lower than that of my physics and maths, even though they started on an equal level). If you feel you don't understand something, make it a challenge to find out how it works -- visit your local library, search the internet, or ask tutors/friends until you can. Knowledge is nothing without understanding.
Most strategies for learning are fairly simple -- but for all subjects, you should try to get a syllabus with all of the things you are supposed to know. My method for 'textbook' subjects is simply to read through the syllabus sections and then to look up anything at all that I either don't know, or can't immediately see as true. Never accept something as true simply because you are told it is. You'll never get anywhere in life that way. Note that I say to read the syllabus, not the textbook. Your textbook may well be useful, and probably covers everything in the syllabus, but will make for an extremely boring read (Note: so will the syllabus, but at least it's shorter). The trick is to look up what you want to know in the book, then read back to cross references for anything you don't understand in that, etc, because the things later in a book tend to build on what is given earlier on.
Make sure that as well as knowing something, you can apply that knowledge - for instance, in Physical Education, you may know how to execute a backhand swing in a tennis game, but can you perform one? In language, you may know how to compare and contrast two peices of work, but it's a lot harder to come up with ideas and themes than it sounds when you're told how to do it.
On a final note, try to explain what you have learned to someone, for example, a friend, or someone studying the same subject as you (maybe having trouble understanding it). It is said that the teacher learns more than the taught, and I agree fully with this -- by trying to explain the material to someone, you're forcing yourself to put what you know in order, and in many cases, you'll find a hole in your knowledge when you try to explain some aspects. If this happens, then together you can try to discover what causes this to happen, or why it should be done that way. This way both you and the other person will learn something in the exercise. Also note: when being taught instead of letting the teacher do all the working themselves, try doing it yourself, and asking when you need help -- I have experienced the "in one ear and out the other" syndrome while trying to watch what a teacher is doing, then having to catch up on what they say, losing track and having no idea what they're on about. By forcing yourself to perform what's being done, you'll immediately come accross problems when you hit something you don't understand. This also works when you're explaining this to someone else - make them do some of the work too.
UPDATE / 21/04/2001: As General Wesc points out, this writeup is highly subjective, and is based on my own experiences etc. There is no right way to learn that applies to everyone, but nevertheless, these ways must apply to some people