It's interesting how my study methods have changed since I've come to grad school. Previously, I had read the textbooks, taken copious notes (which I reviewed before exams), and done lots and lots of problems. I had thought this was the optimal way to study physics, but I've modified my study habits this year based on input from other people.
In most of my graduate courses, the professors don't lean heavily on the textbook but rather give thorough notes themselves (either in class or distributed online), so I use textbooks as references to investigate concepts with which I'm having issues, rather than as pre-class reading. I've also been trying to review the previous lecture's notes before class to remind me where we left off (this was a technique suggested by a professor last semester, although I didn't use it often enough then). The largest change (taking the place of exhaustively reading textbooks) in my study habits this semester, however, is that I now go through my notes and summarize the salient points on index cards. I had never believed notecards had a place in physics studying, but then a friend of mine lent me her notecards for all-of-physics to help me study for a test. They were incredibly helpful, so I made my own similar set of notecards, and now I'm using the method to study for my regular classes. I never really used notecards to study anything except vocabulary before, so it really surprises me how helpful they are in studying physics--especially for learning to recognize and solve "classic problems."
It's amazing how many of the conventional study techniques that one hears touted for general learning actually turn out to work for physics! (I still do loads of problems, though.)