Taking notes before and during class, and engaging with those notes after class and in preparation for exams, helps prepare your brain to better hear and process the information, and sets you up to know what you'll be learning about and also to know what questions you need to get answered. But, you want to make your note-taking work best for you.
Experiencing some test anxiety is pretty typical. In fact, some would argue that having a small level of anxiety helps motivate you to study, stay alert during the test, and focus on the task at hand. That being said, high levels of anxiety can interfere with your concentration and ability to perform well on tests. The distinction between the two is captured in the diagram below (from UTAustin) illustrating the difference between facilitative and debilitating test anxiety.