There are two kinds of listening, Passive and Active. The one you are talking about falls in Passive Listening while the Active Listening is where you listen something in your target language and respond to it quickly.
Active Listening is the one that improves your listening skills more. You can watch movies with subtitles or listen to a song with lyrics, but if you talk to a person whose native language is your target language and respond to it, this is far better than listening to music with lyrics.
You will have to listen carefully to what he or she is saying and respond accordingly. In this way, your listening skills will be improved.
Listening to music or watching movies with subtitles, you will memorize more words, but it will not improve listening skills as much. (A little bit, but not better than Active Listening.)