For me, the most effective way to increase my vocabulary, both in acquired languages and in my mother tongue, has been as a side-effect of reading. Books, newspapers, magazines; anything, really. Reading presents new vocabulary in a natural semantic context which allows you to see how it is used, unlike when using vocab flash cards; and unlike watching movies/tv or listening to recordings, reading also gives you the chance to stop and look up the words you don't know. If you already have a broad vocabulary base, stretch yourself by reading about topics you're unfamiliar with. Formal documents and novels more than 100 years old can also be a great source for new vocab.

"d`u"?? Now, what is that all about? ':-) Well, I usually read to increase my vocabulary. Read widely. Also, observe word patterns (eg. prefixes and suffixes) and when you encounter a new word, you'll have a good chance of working out the meaning without resorting to a dictionary. Aside from that, still make sure you know the basics. If you're confusing meanings between two or three words, take the time to sit down and clarify the differences.