Having only begun to teach myself Russian a few days ago there is little I have at the moment to contribute to this site. However, having studied a little about the psychology of learning and memory, as well as working in the theatre where I had little time to learn scripts, I thought Id pass on a few tips which have helped me remember things.
This works for pretty much anything you need to memorise.

Write it all down twice. Once in your notebook and once on a piece of paper you can hang up next to your bed. Simply reading what is written at night and in the morning, as well as whenever you happen to glance over, helps you memorise everything in a relaxed way. Once you have remembered whats on the piece of paper, replace it with something else.

Write in red! Red is the colour of memory. So write your own language in black or blue ink and reserve red for the foreign words you are learning. Red really works.

Make your own language tape, even if you already use a bought CD. Initially simply record yourself speaking as you lern. When your confidence has grown, try recording what you remember without a prompt. As well as being a useful tool to encourage you to speak more, it's also useful to look back on your speaking progress.

For those teaching themselves, write your notebook as if it will have to be read and understood by others. This will encourage you to slow down in your writing, thus giving yourself more time to take it in and, if you handwriting is scruffy like mine, will make sure it remains clear at all time.

Finally, bore your friends! Even if they dont speak the language you are learning, start using it on them. Drop odd words or full sentences into your conversations with them then translate what you said. I'm already saying 'yes' 'no' and 'thankyou' in Russian whenever I'm talking to friends and they have quickly learned to accept this. You might even inadvertantly teach a friend the language you are learning at the same time.

When I think of other tips that have worked for me or others I will add them here. If anyone else has an idea to add please feel free.