For me it depends what subject it was.
For English, it was really important for me to read the material before the lecture, take notes during the lecture, and then re read the material focussing on what was discussed in the lecture. I didn't highlight, but would refer to important quotes in my notes if necessary. That way when I reviewed for the exam I could go back to specific pages or portions of the material. It was also pretty impressive to have a few quotes ready for that exam essay.
For law it was different. I found it was more efficient only to read the material after the lecture. Also law exams are open book so that meant making good notes was really important. I always took notes during the lecture, then took notes while reading the material, then instead of 'studying' for the exam, I would focus my time consolidating my notes and making them really complete but also efficient and easy to use.
Languages were a different thing again. They were mostly just about memorising.
So I guess it's about finding what works for you. For me it was take notes, read read read, and then take more notes! And then if in doubt, read again.
Also, Microsoft word's note application can record the lecture while you take notes - it is awesome! I highly recommend it.