What frequency and waveform is it?
You could try using schottky diodes, and if you half-wave rectify you will only have the loss of one diode, although that wastes the other half of the cycle.
http://www.onsemi.com/pub_link/Collateral/BAT54CWT1-D.PDF shows a loss of about 0.15 V at 300 μA, but that is much more if it gets cold.
Other than that, use a transformer or more turns on your generator to increase the voltage.
I think that a synchronous rectifier could improve the efficiency, but you have so little power to start with that the design would have to be very clever to improve on schottky diodes. There is not enough voltage to turn on a MOSFET, which makes things more difficult.
