Udi Manber's Algorithms: A Creative Approach looks like a promising book to work through. There are lots of great resources that didn't exist when I was an undergrad.

But how do you approach them? What prompted my comment was all the times people comment online about "memorizing algorithms" to prepare for interviews -- learning about algorithms will include a lot of them sticking in memory, yes, but approaching it as cramming a textbook into memory the way students cram for a final exam seems... disappointing.