Timelines will help you visualize chronological order; the act of making them yourself will reinforce your memory of relevant events. You can even take timelines one step further with color coding or adding a short, one line description.

For programs, you can hardly do better than the BBC's In Our Time with Melvyn Bragg podcast. Each episode covers a particular historical event or personality, like the Baltic Crusade or Erasmus, and features a discussion with the host and a panel of prominent British academics who will frequently disagree with one another. The program is of such excellent quality and so good at demonstrating how history is a contested space, as opposed to "somethinging that just happened," I used it on my syllabus as a teaching tool.

What I would suggest is to pick up a few books when you have money on the philosophy of history and the concept of historiography. These will give a good basis of understanding for how the discipline works.

Secondly, when you read a book--and I mean a book written by a scholar, not (usually) popular history--search in the introduction or first chapter for the book's thesis, because many history books have a point they are trying to argue (for example Peter Heather argues in Empires and Barbarians that the main cause for the collapse of Rome was the Germanic and central Asian migrations). I know it's a lot to keep track of, so I'd recommend writing down somewhere the book title, the author, and the point they're arguing about the past.

As you read more and more (and you'll touch on this in upper level classes) you'll discover that historians fight about the past and what it means: Peter Heather argues for a total collapse of the Roman Empire, Peter Brown argues that it fell politically and survived culturally, Chris Beckwith argues that central Asian culture blended with Roman to create medieval Europe, Adrian goldworthy says everything sucks, etc. This fighting is what makes history fun for me, maybe for you too.

Thirdly: the brain learns best when you recall and explain something you learned. So when you learn something new, whether it is writing it down or verbally, just reflect on what new info you learned and how it connects to other knowledge--it'll make names and dates and all that stuff easier.

Fourth: you asked about documentaries and books. I know a fair amount of docs and books, so if you reply to this when you can with a particular interest (for example mine is Eurasian military history and migrations) I'll be more than happy to give you some names. For now though, if you're interested in Rome go on YouTube and search for a channel called The Romans and the Greeks. Tons of stuff on both of them. Book-wise check anything by Heather, Goldsworthy, Brown, Beard, and ESPECIALLY Ronald Syme. Best of luck in your studies!