This is perhaps not a particularly useful or practical suggestion, but here goes: Ask questions. Interrupt the lecturer every time you get lost. Of course, if you really do this, you'll get a lot more out of the lecture, but the lecturer, as well as at least some of the others in the audience, might get very annoyed.

Or try to attend lectures or seminars where there is someone else who will do the above.

I personally find any passive approach to learning mathematics (i.e., listening to a lecture or reading a paper or book) very difficult at best. I learn only when I get to interact with the other person or work stuff out on paper myself.

So for a class, I used to concentrate on taking notes and would study them later. I didn't worry too much about understanding everything during class. For seminars, I also don't worry too much about understanding things too precisely at a lecture; I just try to understand enough to decide whether I want to devote some effort later to learn about the topic more properly. Unless it's an exceptionally well presented seminar talk, I tend not to take notes and look for other written materials later, if I decide I want to learn more.