Here's a neat little experiment you can try. Next time you put on a CD, try to identify all of the instruments that are playing. This works best of course if the artist is known for experimenting with different sounds and such. It's a good test to see how well your hearing is doing.
Yes, this is always a good thing to do to develop your ear. Of course, if you don't have a reference of the instruments used, it's hard to check for correctness.
Even if you cannot properly identify all the instruments, picking out the different sounds can still be done. I'm sure this is a good experiment to see how detailed your hearing is.