I have the same problem when I am listening to something challenging(i.e. not the undergraduate math club). For me, one of the most helpful things I can do is that once a definition is given, I construct both examples and constructions that almost fit the definition but do not fit one of the criteria. I then check how these work(or fail) with the theorems presented and the claims made. If you find a simple example and are having trouble following, the person lecturing will probably be happy explaining how the concepts presented relate to your example.

Another idea that helps is for me to read all the material beforehand, no matter how confused I am. Then I can pay attention to how it is structured in class. Even if I do not understand the lecture, contrasting the structures of the reading and of the lecture can give me deeper understanding of the material. In addition, since I (like to think I ) understand how to structure a lecture, it gives me something I can understand to pay attention to.

Lastly, I think it is important to be forgiving of oneself. Think of paying attention to a lecture like being focused when meditating. If you find your attention wandering, just refocus on the matter at hand. Try not to get caught up in a cycle of being frustrated that your attention wandered.