Instructions
Use your challenges sparingly (with the Square button on PS3 or X button on Xbox 360) against shooters. Not every player in possession will take a shot, so leaving yourself open with the challenge will actually make it easier for the offense to make a play to score on goal. Watch for a player indicator to turn red before you challenge.
Keep "square" to the ball, which is a real-life goalkeeping strategy, meaning to keep your body positioned in a way that is directly facing the ball, whenever possible. This can be done by holding down the L1 Button (or Left Bumper) to automatically face the player in possession of the ball. You'll still need to position your player and doing so is faster when you let go of the L1 Button to avoid being totally open to surprise shots on the goal.
Know the appropriate saves for the types of shots. Cross shots or corner shots should be "punched" away (returning the shot with a body move) and most other shots should be saved (catching the ball). If you are using Right Analog Stick to do position specific moves, flipping the Right Analog Stick upward will choose the appropriate move for the type of shot.