Lectures are Good for You
In Cambridge most of the lectures are very good, others are a little boring, a very few are not good at all. However, the vast majority are very good.
The point about lectures is that they save you massive amounts of time; they represent an extremely efficient use of the time you have available for learning. In a period of around fifty minutes you will be presented with an amount of information and analysis that would have taken you (and did take the lecturer) many hours, weeks, or years to accumulate and organise.
Going to lectures is also (quite seriously) a good way to avoid depression. Before and after lectures are among the best times to socialise with fellow-students taking some of the same papers as you. This social contact with fellow-students who are in the same boat as you is very rewarding; you can consult, commiserate, encourage, and counsel one another on the academic and personal challenges you are facing. Also, staying in bed or being inactive all morning (or all day) is one of the best ways to bring on bouts of depression. For the sake of your mental health, as well as for the sake of efficient academic development, attending your lectures is an excellent idea.
Taking notes in lectures
Efficient note-taking is an important skill to develop both when doing reading for an essay and when attending lectures. You will need to develop your own preferred method, finding a way to write down enough so that you remember the points that the lecturer was making and any important examples, names or dates she mentioned (often a hand-out distributed by the lecturer can serve this purpose to a large extent), but not so much that you don't have time really to take in and attend to the lecturer's arguments.