I would seem that the answer you're looking for is in the question you're asking.
Remember that when anyone is introduced to a topic for the first time, there's only going to be so much that the person can absorb. Obviously some people are going to get more than others, but I don't think it's realistic to sit down in a lecture - particularly for more advanced topics - and expect to understand everything the first time through.
So of course you have to study the material on your own. You have to work through problems, struggle with the material, really think about it, get different points of view, and through all of this you eventually develop understanding.
One thing that can help make lectures more valuable is to read up on the material you'll be covering ahead of time. I know this is hard when you have a busy schedule, assignments due, exams to study for, etc. But reading ahead can do a few things. First, it gets you used to any jargon. Psychologically this means that your brain won't take a detour from the professor's train of thought every time a new concept comes up. Secondly, it can make you aware of any concepts that you need to review for the material to make sense. Often in physics courses a mathematical concept will come up where you likely remember the basic idea, but just need to run through a quick refresher of the details in order to be able to use it. If you go into the lecture already having done this, again you'll be able to follow the details of what the professor is talking about. Thirdly, it will help you to ask intelligent questions. You can come into the lecture with questions prepared - sometimes they will be answered over the course of the talk, sometimes not. You can also be sure that if there's something that you're struggling to understand after reading up on it, and having the professor work through it, that it's going to be a legitimate struggle and not something that you just missed because you weren't paying attention at the right time.
I would also consider that some people just don't learn well from lectures. Occasionally in these forums we see posts from people who don't really attend lectures at all, yet they indicate that works for them. You might just be someone who doesn't get much out of lectures. Personally I would not advocate skipping out on classes that you're paying a lot of money for, but part of the university experience is learning how you learn and it's important to figure out how best to spend your time.