There are a couple different things you can do...
1. Read for at least 15 minutes each day, if you come across any words you aren't familiar with, write them down and look them up. You can make flash cards if you don't think you'll remember the definitions.

2. Play word games. There are a lot of different websites that allow you to do this as well as "word of the day" features :

www.vocabulary.com/
www.readersdigest.com (click on "Word Power")
www.wordcentral.com
www.m-w.com/game/
www.wordsmyth.net
http://www.nytimes.com/learning/stud...day/index.html
www.worldwidewords.org
http://home.earthlink.net/~ruthpett/safari/megalist.htm

3. Learn the origin of words....suffixes and prefixes are often used over and over in different words. This will familiarize you with the english language and you will find yourself being able to know somewhat what a word means even if you have never heard it before.

4. When reading.....if you aren't sure....stop and think and use context clues to try and figure it out instead of just ignoring it and skimming over.

5. Do crossword puzzles.

6. When you learn a new word, try to use it in a sentence at least 3 times so it will stick with you.

I've found that a majority of vocabulary words that are considered "challenging" are actually Latin- or Greek-derived. So if you look up all the common Latin or Greek affixes (prefixes, suffixes, etc) as well as common Latin or Greek bases ("flam" referring to "fire," and "pod" referring to "foot," for example), then you can get a better sense of what words mean. I think etymology is extremely interesting, personally - I like to use http://www.etymonline.com to look up words and their histories. I hear there are a few things that aren't completely correct on that site (just like Wikipedia, I guess it's not quite as academic as it looks) but in general I find it to be quite interesting. The abbreviations take a bit to get used to, but there's a listing of them on the site. Just look up random words to see where they get their origins - then you'll be able to dissect future words you don't know, and understand their meaning!

Dictionary.com has a good word of the day e-mail that they send out. I like that.

Also, the other users have suggested crosswords - those are neat ways of learning new words.

Quite frankly, by reading more and encountering new words, you can 'learn' them but in my experience, you wont' actually learn them after looking through the dictionary (or repeating them to yourself). There's been millions of times where I've seen an interesting word that I haven't seen before, looked it up in the dictionary and then encountered the word once more only to have forgotten what it meant.

Nowadays, I try to increase my vocabulary by trying something different - I try to do two things:

1. Link the word to a word I already know

For instance, I know that exodus means exit because they sound similar.

2. Come up with a story that includes the definition

For example, I can always remember the definition of nexus because it comes from the word connexion (and old way of spelling connection) and that's what it means - a connection or bridge of some sort.

Anyway, I hope that helps.

I do at least one crossword puzzle a day to help keep my mind sharp and to help out in discovering new words. Oddly enough way back as a teenager I discovered the meaning of the word lexicon by doing a crossword puzzle and to this day my personal lexicon keeps expanding by doing difficult crossword puzzles and having to resort to a thesaurus or to a dictionary in order to complete them.