Hello,
I think there are two main categories of vocabulary words: the concrete and physical objects that you can see, and "abstract words" such as verbs, adjectives, adverbs, ...
I find the first category the easiest to memorize, You just have to search a picture on the internet to illustrate the word, And we can even make flashcards with them. We can organise them by topic groups.
The second category is more difficult to keep in mind. As far as I'm concerned, one of the best way to master new words is making up my own sentences with those words and try to use them. It's good to write down the sentences, and say them out loud as Minoo said.
This technique is also useful to study any grammar point (especially the English tenses).
And I'm going to try your suggestion Minoo for getting rid of English subtitles when I watch a film in original version...