In addition to previous answers, if your menu items are Categories and you want to highlight them when navigating through posts, check also for current-post-ancestor:
add_filter('nav_menu_css_class' , 'special_nav_class' , 10 , 2);
function special_nav_class ($classes, $item) {
if (in_array('current-post-ancestor', $classes) || in_array('current-page-ancestor', $classes) || in_array('current-menu-item', $classes) ){
$classes[] = 'active ';
}
return $classes;
}