I preferred to scribble in the margins of my notebook during lectures; not words or likenesses of anything in particular, but kind of Hugh Macleod-ish pattern scribbles[1]. Some teachers really hated that I wasn't looking up at them and thought I was being super disrespectful, which didn't make sense to me since I was asking questions that clearly indicated I was paying attention.
Ah yes, I learned to do this as well with certain professors. I always found the ME professors were impressed after the first lecture and could tell I was paying attention. But with some others, it was a different story.
[1]: http://gapingvoid.com/wp-content/uploads/2010/10/rackspace-1...