When I was an undergrad my strategy was as follows:
a) Never do any "study" during the semester. (Go to lectures, take notes, do any required assignments, but that's it.)
b) When stu-vac rolls around (a week before the exams start), write a set of really nice summaries of everything you learned in each course, based on your notes and textbook.
c) Print out these summaries and... well, probably never look at them. It's the act of writing the summary that's useful.
But that's me. It might not work for someone else. I can't possibly comprehend the idea of staying up all night studying before a test -- how can there possibly be twelve hours' worth of material to study?
Also I was studying physics and maths, both of which are mostly about understanding rather than memorization. Put me in an anatomy class and I might well fail horribly.