For the basic vocabulary, it's a good idea to take lists of common words, either from specialized books or from a standard textbook. Then you can make flashcards or if you're a genius, learn them as you read them.

For advanced vocabulary, my approach is to make a flash card for every new word I get while reading or listening, and then learn it. This is very efficient for languages related to one you already speak, but if you learn russian or chinese, you might wish to be a little more selective on the words you choose to learn.