Ear Training is one of the most important skills for a musician can have.
It requires time and practice. However, the results are extremely worth it.
Ear training will better allow you to improve your own playing, learn songs faster, and even pick up songs straight from the radio or from a CD
Ear Training Exercises
The above website is an excellent resource. Just click "Ear Training Exercises". I still visit the page to fine tune my own ear training abilities.