If you simply do all the reading for a class (a couple of days before the class session, so it has time to sink in), you'll be much more likely to absorb all the details the professor mentions in the lecture, or that you missed the first time around in the reading. You'll also be ready to ask more informative questions, that will get help you get ahead instead of catching you up.
Other tips (some might seem obvious): keep a notebook where you take notes on the readings and the lectures; review the reading with your notes shortly after the corresponding lecture; go to office hours if you don't understand something or are having trouble with a homework or programming assignment; start homework assignments as soon as they're assigned (especially for larger projects); plan on spending twice as much time as you expect on homework / projects.
If you keep up (or keep ahead) during the course of the semester, you shouldn't have to work too hard to study for the exams. Use whatever study guides (or hints about the contents of the exam) the professor gives you as a guide, and make sure you understand all of it. If you don't understand something, take advantage of office hours to get help.
There is also strategy to taking tests well. Some tips: skip a question if you don't know how to answer it right away and answer it later; show you work or explain your reasoning so that you might get partial credit even if you get the wrong answer; if a question is unclear, go ask the professor for clarification; often times questions later in an exam will give hints as to the right way to approach questions earlier in the exam; get plenty of sleep the night before, and a good breakfast and coffee the morning of; don't worry too much, because worrying won't help you to perform better.