I learned a few interesting memory tricks from the movie Memento. One thing you can try is to tattoo important information on yourself, so that you don't forget it.
I can think of a few security caveats for sensitive information though:
On a more serious note, I find it much easier to remember random alphanumeric characters "kinesthetically" (i.e. by developing muscle memory for the act of actually typing the password), as suggested by polymathwannabe. The only downside to this approach is that it's extremely difficult for me to enter such a password on a cell phone.
I endorse the serious note - I have a key layout I use for throwaway passwords based on taking an initial character from the website name, which is quick and easy to type on keyboards (but admittedly hard on iPhone). Eg I went back to confused.com (insurance comparison site) recently after a year and got in with a couple of guesses.
Emphasise throwaway passwords though - I use XKCD method for anything that gives control over other stuff (Gmail especially) but it takes some cognitive load off the unimportant stuff while still protecting against password leaks.
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