To be honest, for very mathematical subjects the lectures are almost useless. Exercises and practicing is what gives insights, determines the grades and tells which part of the lecture is actually important.
I'd be curious how it is in other subjects, like literature or history. But I assume without writing texts, one doesn't get very far there either.
1. Go to the lectures, sit upfront (where you are definitely not going to use your phone or fall asleep)
2. Get the book or script that corresponds to your lecture. Almost all math lectures follow some sort of book. If unsure, ask your professor.
Just reading ahead for half an hour prior to the lecture will make _such_ a difference, as you won’t be lost and can focus more on contexts than on definitions.
3. Feel free to ask questions. If you know where you are (see 2.) it’s much easier to know what’s wrong. Professors are human and sometimes forget to give some theorem they are using. It’s really easy (and frankly surreal at first) to be that guy that points out errors to the professor (in a respectful way!).
If your shy or you have the feeling, that the problem is indeed on your end – take notes of things that are unclear and ask them after the lecture. Professors usually love to talk about their subject!
4. Last but not least: Keep calm and carry on. It’s completely normal to feel overwhelmed at first ;)
And community -- both the other students, and the professors. To motivate each other, and to calibrate expectations, and to fill holes in each others' knowledge. That seems like the big (academic) reason to be physically on campus, and ideally at a selective place.
My impression is that the same would be true of (say) history, but I don't really know.
In philosophy however - which for me this semester is entirely online without any video chat whatever interaction - the in person lectures were highly valuable to me due to their nature on heavily relying on discussion. While I do have a paper here and there to write my understanding mostly comes from attending the lectures.