Hand written notes help me, I space out all the time! Maybe (Im not sure if this is allowed) but chew gum or suck on mints. That always keeps my mind from wondering since in gives me a few things to focus on.
Active listening is an excellente way. It consists of eye contact with your teacher, answering and asking questions, and nodding or shaking your head every so often. Teachers and public speakers actively look for these signs as feedback to their lectures. It helps you pay more attention without extra effort.