Hands on activities and relevance seem to be very important to my Generation Y students. For the most part, they are receptive to lecture, but I don't see the light bulbs click on until we get to the practical examples. Also, I can tell my Audio Recording students that a particular microphone or technique is good for an application or show them the specifications, but they usually discount it unless I tell them that "so and so" artist uses this. Once they hear that someone popular that they respect uses it, it seems to be their new favorite thing.
Portioning longer tasks into smaller chunks that they can "conquer". This allows them to "win" and "accumulate points" as if they were playing a video game. Small victories upon which to build.
As and Instructor I've learned to ingregated while educating the generation y these young are extremeely computer knowledgeable there are times they think you the student and they are the instructor
I have them do worksheet assignments in small groups of 5. I also have one person work out a math problem up on the board and the rest of the class helping the student if he/she needs it.
hands-on lab activities, small group activities, how certain lessons can be incorporated into "real life" situations