Yeah, I think that if I were trying to learn a new skill, exercises/books are definitely better.
I'm usually listening to things while cleaning, driving, etc, for entertainment rather than maximizing learning. My experience has been that if someone introduces a really novel concept or historical fact in a talk, it will sink in and stick with me for a long time.
I've found a lot of fantastic material in this university's lectures- http://www.gresham.ac.uk/
I'm working on a search engine to curate a wider range of these, although it's still very much a work in progress-