As you follow along with the speaker, try to predict what they will say next. These can be either local or global predictions. Guess what they will write next, or what will be on the next slide. With some practice (and exposure to the subject area) you can usually get it right. Also try to keep track of how things fit into the big picture. For example in a math class, there may be a big theorem that they're working towards using lots of smaller lemmas. How will it all come together?
When you get it right, it will feel like you are figuring out the material on your own, rather than having it explained to you. This is the most important part.
If you can manage to stay one step ahead of the lecturer, it will keep you way more engaged than trying to write everything down. Writing puts you one step behind what the speaker is saying. Because of this, I usually don't take any notes at all. It obviously works better when lecture notes are made available, but you can always look at the textbook.
People often assume that I have read the material or otherwise prepared for lectures, seminars, etc., because of how closely I follow what the speaker is saying. But really most talks are quite logical, and if you stay engaged it's easy to follow along. The key is to not zone out or break your concentration, and I find this method helps me immensely.