In this post I will give some tips on learning vocabulary in a second language that have been proven to be effective through empirical studies. 

Firstly you need to know what vocabulary you should learn, which means you should have a good idea of your current level. For anyone learning English as a Second language it is very easy to find this out; you can do a simple test of around 140 questions here, which has both monolingual and bilingual tests. English vocabulary can be separated into High Frequency (HF), Academic, Technical and Low Frequency (LF) word families. Knowing a word family means you know the different forms of the root forms of the word. For example, the word family for nation would include nations, nationalist, nationalistic and so on. For learners of other languages it would be a good idea to see lists of the frequencies of words in the target languages before continuing. This will save you both time and effort in the long run. 

Most of this information comes from this book by Paul Nation.