More specifically there is some recent research to suggest that trying to answer the TMA (say) very quickly without any study of the unit - just jot down the best guess you can come up with - and only afterwards reading the relevant bits of the course may improve retention significantly. See http://www.scientificamerican.com/article.cfm?id=getting-it-wrong&sc=MND_20091029
In fact it seems the effect could apply if we do no more than for example try the SAQ before the related section, or even read the unit introduction, section or unit summary etc. before tackling the body of the unit.
I found this idea intriguing and intuitively appealing, but of course that isn't evidence.