Take notes during the lecture. Preferably hand written notes as the better engage the brain in learning. After the lecture, write out a summary of the lecture capturing the, say, three most important points. Try to do this immediately.
I also suggest doing this on index cards. At least the summaries. One big idea per card. Use your own words. Number the cards sequentially.
Now you have a deck of cards from which you can select several to carry around with you for a few days for quick review while you need to wait for anything (bus, meal delivery, ...). You can also use the backs of the cards for notations of ideas you have as you travel about. Maybe add keywords to the cards as you think of things.
Finally, when you need to review for an exam or other use, the cards give you a way to recall the key points.
Orthogonal to the above is a suggestion that you put what you "learn" in any lecture to practice. If they provide exercises do them. If they don't then I question their overall merit. But you can compensate for that in many cases by finding a textbook on the same subject, perhaps one recommended, and do the exercises in that. Much harder, however, is to get feedback on your solutions. This is one of the biggest advantages of face-to-face education over online; personal individual feedback.
For (much) more on the idea of using note cards see the description of the Hipster PDA.