Of course, there's no one improvement method that's best for everyone. However, the five activities in this article are ones that players, coaches and trainers have found to be effective methods for most players, and they should make up the core of any training you do to improve your chess.
1. Play More Chess
This one may seem obvious, but many players forget that experience is an important and necessary part of chess improvement. Playing is what allows you to put the knowledge gained during study into practice, and work on solving practical problems during games without the aid of the prompts given in puzzle books.
Some games are more valuable for improving your chess than others. Long games -- games where each player has an hour or more of thinking time -- allow time for seriously analyzing positions and practicing time management. Blitz games are useful for quickly learning openings or improving your chess intuition. For training purposes, long games are best, but keep in mind that blitz games can be learning experiences too.