Ear training

One easy way to work on your ear is to detune your guitar (all 6 strings). Get it to sound ugly. Then use the feature on your metronome or chromatic tuner that produces a note (usually an A). Use this A tone to tune your 5th string then use your 5th to tune your 6th (by fretting the 6th string on the 5th fret of course) and continue until your guitar sounds in tune. Then double check that A...sometimes when you tune up all the other strings the neck tension changes and you can be a little off.

Once you're sure you like the way it sounds check yourself with the chromatic tuner. Do this at least once a day and you'll get good at it quick.

Work 'em in a logical order. Practical ear training is about hearing the differences between notes and chords, not identifying a specific note (except in relation to a reference pitch)

I teach ear training as part of lessons in a couple of ways, intervals and chords. For intervals, we do:

octaves - the easiest to hear
fifths
fourths
thirds
sevenths
seconds
sixths
then the variations: minor third, minor seventh, augmented fourth/diminished fifth, etc.

for chords:

dominant - listen for the tension
major
minor
major 7th
augmented
diminished
ninths
then the oddball stuff - everything else.

Take a look at http://www.prolobe.com . There, you can develop absolute pitch....However, you do just need to develop 'relative pitch' as Noteboat said.

Have fun
Alex :)

http://www.good-ear.com

is useful...