Listening is a very broad topic. I will focus mainly on listening to a math talk with the hope of extracting something useful from it.
I find taking notes during a talk helps. I simply write some key words. If the speaker emphasizes a point, I write it down, even if it does not make sense at the time. I might later google some of the key terms. So on...
People who don't write fast enough, or who are new to attending math talks, might find useful a digital recorder running on a timer. Jot down the time when an important point or example was made and some of the ideas surrounding it, maybe also the notation; then go back later if needed. You may want to save both the recorded talk, and via a digital camera in text mode, digitize your notes and place them in a folder adding some key words easily searched later if needed.
As Ravi puts it in these Notes (Thanks Kevin Lin)Lin for the link), one is never sure where new ideas are coming from, or where the seed of a solution to a problem one has been working on is going to come from. Sometimes, a new idea may come from listening to a talk on something seemingly disjointed from one's work.