Back in the fall of '07 I did a three-part series on how to listen to a sermon. This was a very profitable study for me as well as the church. How to Listen to a Sermon is a neglected topic that needs to be spoken on much more than it is. In fact, if you were to go to any Christian book store you would find hundreds of books on preaching and maybe two books on How to Listen to a Sermon.
Three books to mention regarding this subject:
The Christian Hearer by Edward Bickersteth. It is out of print but you can read it using google books by clicking on the title above.
The Family at Church: Listening to Sermons and Attending Prayer Meetings.
Philip Ryken entitled How to Listen to a Sermon at the Tenth Presbyterian Website.
George Whitefield, How to Listen to a Sermon at monergism.com