Could spending time (and actively participating) on Programmers.SE and Stack Overflow help me improve my programming skills any close to what spending time on reading a book like Code Complete 2 (which would otherwise be next in my reading list) will help.

Ok, may be the answer to this question for someone who is beginning with programming might be a straight no, but I'd like to add that this question I'm asking in context when the person is familiar with programming languages but wants to improve his programming skills. I was reading this question on SO and also this book has been recommended by many others (including Jeff and Joel). 

To be more specific, I'd also add that even though I do programming in C, Java, Python,etc but still I'm not happy with my coding skills and reading the review of CC2 I realized I still need to improve a lot.

So, basically I want to know what's the best way for me to improve programming skills -  spend more time on here/SO or continue with CC2 and may be come here as and when time permits.

No, it is not a substitute, but a perfect complement. I feel a combination of the two holds a lot of power.

Why is it that a good lecture teaches you more than just reading a book? Interaction and the ability to ask questions.

By just reading a book, some questions might pop up to which you can't find any answers. Look for those questions here, or ask them if they haven't been discussed before.
