Take a deep breath! Its not just your son! LOTS of young boys have trouble listening and following directions - the curriculum in schools has escalated, and kindergarten is no longer about social skills and socialization, its about learning to read, write and do math - what, 20 years ago, was first or second grade work. Its HARD for little boys to sit and attend they way the curriculum demands.
Talk to the teacher - what does she think? What does she suggest? When is this behavior happening? What expectations does she set out for the children, and what immediate consequences does she have for him?
At home, talk to him, in general terms, about the importance of listening to the teacher and following directions. Talk about specific things he can do to help him listen. Look at the teacher. Keep his hands in his lap. Think about what the teacher says. Raise his hand if he has a question. Practice listening at home. Google "listening games" and try some out with him. Also, maybe some old fashioned Simon says..
Talk about the importance of following directions. Role play some common directions the teacher might give him - put your crayons in your pencil box, or get in line, and have him either tell you what he should do, or practice at home. Give him some common directions and have him visualize himself doing them.
As far as consequences, I think the best is how the teacher handles it immediately when it happens, and for you to express disappointment with the behavior. I would hold off on at home consequences for a while. Rewards and punishments dont work so great if he doesnt have the skills yet. If someone said, "I'll give you a million dollars if you can successfully perform brain surgery on this person.." you STILL would not do it, because you dont know how.
Good luck! DOnt worry!