The Interval Ear Trainer is a great online application. It runs a series of tests on your ability to hear note changes (which those fancy, schmancy musicians call "intervals"). Even if you don't score high at first, use the tool to keep getting better. You will find it does help you get a better "music memory", allowing you to more quickly know the interval change you heard.
You should really check this great ear training tool out online.
http://www.musictheory.net/trainers/html/id90_en.html