After I listen to a work for awhile for effects and just getting to know it, I like to listen and read along with the music score. It of allows me to hear things I have missed and in orchestral pieces makes it easier to follow an particular instrument's contribution to the sound.
I just found a wonderful site which has public domain scores for download. This is the composer's page:
And, I just got Rachmaninoff's 3rd piano concerto, one of my favorites.