A good listener is not just a silent receptacle, passively receiving the thoughts and feelings of others. To be an effective listener, you must respond with verbal and nonverbal cues which let the speaker know -- actually prove -- that you are listening and understanding. These responses are called feedback.
Verbal feedback works best when delivered in the form of brief statements, rather than questions. (Your questions usually get answered if you wait.) Statements allow you to paraphrase and reflect what you've heard, which affirms the speaker's success at communicating and encourages the speaker to elaborate further or delve more deeply into the topic. Meaningful exchanges are built on feedback.
In order to accurately feed back a person's thoughts and feelings, you have to be consciously, actively engaged in the process of listening. Hearing a statement, you create a mental model, vicariously experiencing what the speaker is describing, feeling the speaker's feelings through the filters of your own humanity and experience.