I find many parents are frustrated by this question. In fact, I tease that the reason older people repeat themselves so much is because their children have trained them that they won't be heard until the tenth time at least.
But this issue can be improved greatly through some careful training. However, the hardest part of the training involves training yourself to be really consistent in your attentiveness and responses.
The first thing you must do is get ASK, TELL, COMMAND fully established. Most parents ASK, ASK, ASK until they lose all patience and blow-up. If you stick with ASK, TELL, COMMAND your children will soon respond quickly to the first ASK. I have described this in other blogs and it is explained fully in My book, "The Balance of Loving Discipline" which you can buy on SermonOnTheMount.org website. But here is a quick review.
Let's say it's time for supper and your child needs to put away toys and wash their hands. You will say in a calm but serious tone, "I want you to clean up for supper". You must make that term clear in the beginning what you mean by clean up but soon you can just use the term and they will know what it means. The goal is that the child will quickly move to put away toys. If they do not immediately move then you must go over to them and look them directly in the eye getting down to their level and say sternly but not loudly "Mommy said, to clean up for supper." If at that point they do not move quickly or they whine then it is time for COMMAND which is a swift consequence of their disobedience. This is because at TELL you and they both know what is expected and to not move then is direct disobedience. For small children who usually learn best through their bodies this would mean a quick sting on the padded bottom with an appropriate paddle. You want it to be uncomfortable but also do no real physical harm. At this point they should scramble to obey. If you are faithful to this they will soon obey at ASK. There are also games like Simon Says that can be played which increase attentiveness. You can go outside and play, "Hot and Cold" to hunt for a hidden piece of candy. You can play Telegram where you line up and whisper a command down the line and laugh at how it gets twisted. Playing this frequently can result in an exact transference of information with a correct action at the end of the line. Be sure to celebrate this with clapping and excitement and congratulations.
When dealing with older children, be sure to have them repeat back to you what you said. Also be careful not to give too many commands at a time or a command with too many steps. Their minds will jump on number one and turn off to the rest. You need to get them to come back to you after doing number one then give them number two. After they get good at this then try giving two steps then three until they can focus and remember more than one at a time. This is a learned skill. The important parts to all of this is that 1) you actually mean what you say and expect them to obey. 2)You always have them repeat it back to you. You can correct their perception and have them repeat it again. This is both ASK and TELL together so you both know that you both know what is expected. Let an older child know that this is the way they earn trust and privileges like going away to camp or obtaining a driver's license or going out at night with a group of friends. If they must earn these privileges by attentiveness and obedience then you will be able to trust that they will make wise decisions in these more risky activities. They need to know that they earn their freedom and adulthood through earning trust and evidencing attentive communication.