The two I do most are dialog and description related. When I meet a person or I'm just sitting people watching, I try to write their description in my head as if I was describing a character in a novel. I focus on the physical - tall, short, weak chin, high cheek bones, etc, etc.
The other one I do is I try and couch conversations I am party to as dialog. I focus on how words are spoken, nuances of expression, tone, word choice, etc. I then try to convey the natural language in text as close to how it was spoken as possible.
I've gotten a lot of positive feedback since I started this. What other exercises or techniques do other writers have that they use to improve their style?