Fundamental to excellent ear-training (read: brain-training) is a system for understanding the relationship of a note in the key. There are several popular systems: numbers, movable-do solfège, and fixed-do solfège are among the most common.
Solfège scales can be a tremendously helpful practice and should be completed regularly in as many tonalities as possible.
Bonus: Mastery of scales is essential for vocal runs in contemporary commercial music
Exercises
Major
Difficulty: Beginner
Direction: Ascending
Tonality: Major
Range: Major 9th
Natural Minor
Difficulty: Beginner
Direction: Ascending
Tonality: Minor
Range: Major 9th
Harmonic Minor
Difficulty: Beginner
Direction: Ascending
Tonality: Minor
Range: Major 9th
Melodic Minor
Difficulty: Intermediate
Direction: Ascending
Tonality: Minor
Range: Major 9th
Dorian
Difficulty: Intermediate
Direction: Ascending
Tonality: Dorian
Range: Major 9th
Chromatic
Difficulty: Beginner
Direction: Ascending
Tonality: Chromatic
Range: One Octave