Use a pencil to underline sentences that catch your attention or seem important. If you prefer, you can use a pen, but this may damage the pages of some books. You can also highlight important sentences, but highlighting often bleeds through your books' pages. Alan Jacobs also suggests that highlighting can get out of hand because it is too easy to do: before you know it, you'll have highlighted an entire page and made a mess of your book.
Mark the main points of the story. These include the introduction of major characters, turns of fortune for the protagonist and the revelation of important plot details. You should find no more than between 10 and 20 of these. Create an index for your main points by listing the page numbers in the back of your book. You can also fold the bottom corners of the pages where your main points are located if you don't mind the possible wear: this makes locating them later on efficient.
Circle with a pencil --- or highlight --- words or phrases that continue to pop up in the story. Consider why an author might use a certain word over and over again. In "The Corrections," for example, Jonathan Franzen uses the word "corrections" repeatedly to emphasize the story's theme of continual, inevitable and (hopefully) positive change.
Write questions for the author or yourself in the margins. For example, in your copy of Jane Austen's "Pride and Prejudice," you may ask yourself why Elizabeth Bennett is not suspicious of Mr. Wickham's terrible story about Darcy. If you find the answers, go back and answer them later on. Make an index of these questions and answers in the back of your book.
Keep your annotations. This is an effective method of tracking what you have thought about a single story over the years. If your thoughts from five years ago embarrass you, consider what has changed about you and your reading of the story that has caused your perspective to shift.