They are challenging and students can see an improvement. You can do these kinds of activities regularly and they needn't take up a great deal of time.
1. For lower levels: a dialogue taken from an elementary to intermediate course book. The teacher can then gap-fill the target language and students listen and write down what they hear, or, having replaced certain words and phrases with ones of his/her own, the students have to write in the correct word or phrase as they listen to the tape.
2. Cut up a dialogue so that the students have to order the lines of dialogue they hear, either by simply numbering the jumbled text or moving individual cut-up sentences into chronological order.
3. Dictations - all levels. The teacher dictates a sentence and the students write down the first word and the last word. Students listen again and count how many words they hear - this is difficult because of linking. They write down the number they think they've heard then the teacher tells them the real number. Students listen a final time and write down key words they hear and build the sentence.
4. Similar sentences: The students have to identify the sentence(s) they hear
Could you open the door, please?
You couldn't open the door, could you?
Would you mind opening the door?
Could you open the door for me?
5. Songs. The teacher gives students verbs from a song on cut up pieces of paper. Students listen to the song and order the verbs as they hear them, then the teacher gives the students the song lyrics and they compare