I've been studying mandarin pretty intensely this year, and one of things that worked best for me was language reactor. It is a web browser extension that "overlays" video networks (in particular, I use it with netflix).
It can slow down tv shows to different speeds, to make the dialogue easier to hear. It can stop a show after every line of dialog, and you can hover over individual characters to get their meaning and pronunciation, plus you can mark the characters you know in one color and the ones you are in the process of learning in another. You can also see upcoming and past subtitles in a side "dialogue" window.
At the beginning, I found it useful to go "line-by-line" until I learned enough vocabulary. Now I tend to watch shows in regular mode or at .875 speed and focus mainly on my listening skills, while periodically checking the dialogue window to see if there's any characters I would like to learn (or didn't hear well).