I have the same problem when I am listening to something
challenging(i.e. not the undergraduate math club). For me, one
of the most helpful things I can do is that once a definition is
given, I construct both examples and constructions that almost
fit the definition but do not fit one of the criteria. I then
check how these work(or fail) with the theorems presented and
the claims made. If you find a simple example and are having
trouble following, the person lecturing will probably be happy
explaining how the concepts presented relate to your example.
Another idea that helps is for me to read all the material
beforehand, no matter how confused I am. Then I can pay
attention to how it is structured in class. Even if I do not
understand the lecture, contrasting the structures of the
reading and of the lecture can give me deeper understanding of
the material. In addition, since I (like to think I ) understand
how to structure a lecture, it gives me something I can
understand to pay attention to. Lastly, I think