[squeaky-clean]

What works best for me is to watch the lecture multiple times with different amounts of intensity/focus. Listening to a lecture while on a walk or doing other errands is a fantastic primer for when I rewind the lecture and watch it again with my pen and notebook in front of me.

I picked this up from Mortimer J. Adler's "How to Read a Book". There's lots of other techniques discussed in it, but the idea of "skim the content first to know what's coming up, so you have an idea of what each chapter (or lecture) is building towards" improved my retention massively and works well for things that aren't just books.