Lose weight. Obesity results not only in increased LDL cholesterol, but also in reduced HDL cholesterol. If you are overweight, reducing your weight should increase your HDL levels. This is especially important if your excess weight is stored in your abdominal area; your waist-to-hip ratio is particularly important in determining whether you ought to concentrate on weight loss.
Stop smoking. If you smoke, giving up tobacco will result in an increase in HDL levels. (This is the only advantage I can think of that smokers have over non-smokers -- it gives them something else to do that will raise their HDL.)