The best way I've found to do ear training is to vocalise all the different intervals: play a note on your guitar and sing intervals above and below the note. You can do it randomly all over the guitar neck, or you can move up through a chromatic scale - as long as you sing the interval correctly, and name the notes as you sing them, it really locks your ear into the sound of the different intervals. Start off with say, major thirds, and as you get better, add in more and more.
Also, sing scales and arpeggios as you practice them - another great thing to do is play a chord and sing each note you can hear. The more complex and atonal the chord the better, cause it trains you to listen to a chord as a group of intervals, rather than just a wall of sound.
If your interested, look out for The Relative Ear Training Supercourse - a whole bunch of cds with loads of drills and exercises, where I found all this from - it's incridibly thourough, and takes you from recognising individual intervals to immediately naming complex chords and recognising melody lines straight away. I'm only midway through the first section of cds, but it's deffinately already improved my interval recognition. Bit expensive, but worth a look!