I will focus on chords, when I listen to a song I.e. 4x4 while listening i play it, what it bothers me. I can't recognize chords like if 3 or 4 chords is in a row (i.e. Eb D Gm) or chords witch don't belong to that scale, i.e. lets say playing on Gm scale and its playing an Fm in the song, what's the best idea how I should it recognize by while listen to it?
I would recommend focusing on the bass of the chord. When you see how the bass moves, it will help you understand what kind of interval is between the chords. Listen to the bass and then to the quality of the chord.
This might need some training on its own before you start recognizing chords on the songs. If you have a piano player friend or a teacher, he can play chords for you and try to focus on the bass. Then listen to simple songs, and then you can move to more advanced ones.
To add onto the previous answers:
I think it's kindof like learning to read (a language, I mean). You start by learning phonetics and picking out the sounds in a word. Similarly, as the other two people mentioned, you can often pick out individual notes (especially bass notes), that give clues as to the chord.
However, as you read more, you don't do it phonetically any longer. You see a word and just recognize it, like you would recognize a color. I think to some extent recognizing chords can be similar.
Further to Shevliaskovic's post : When a chord changes, often there are one or two notes whcih may change only by a tone or semitone. Sometimes this gives you a huge clue as to what's going on.
For example I was recently learning tiny Dancer (Elton John) and there was an odd chord at the words "dancing in the sand". I couldn't get it just by listening to the bass notes as it wa probably a strange inversion, so I listened to how notes were changing from the previous chord. I could hear something dropping a semitone .. turned out the whole chord does, from F to E.
Another example is the sequence in Space Oddity (D Bowie) from C E F Fm. When I worked that out I was listening to the note which changed semitones (G G# A G#) which gave a clue as to the possible chords.