All but six of the consonants of Russian occur in two varieties: a plain variety and a palatalized variety (pronounced PALatalized). For example, the plain variety of п is pronounced somewhat like the p in English poor, and the palatalized variety of п is pronounced somewhat like the p in English pure. Similarly, the plain consonant н is pronounced somewhat like the n in the middle of English cannon, while the palatalized н is pronounced somewhat like the n in the middle of English canyon.
The consonants that occur in two varieties are called paired consonants.
There are also six unpaired consonants, i.e. consonant sounds that do not come in both a plain and a palatalized variety. These are the sounds ч щ ш ж ц and the sound /y/ (as in 'boy' and чай).
The difference between Russian palatalized consonants and English consonants followed by y (as in canyon) is that palatalization (pronounced PALataliZAtion) is produced simultaneously with the consonant, whereas in English the y-sound is a separate consonant. In other words, a palatalized н in Russian is a single sound and takes no longer to say than a plain н, while in English the combination ny is two sounds and takes longer to say than n alone.
Two kinds of vowel letters
The Russian alphabet does not represent palatalized consonants with separate consonant letters. Instead, palatalization is indicated by the letter that follows the consonant. Thus, the consonant letter «н» followed by the letter «я» indicates that «н» is palatalized (ня), while «н» followed by the letter «а» indicates that «н» is plain (на). (English uses a similar device: the difference between 'soft g' and 'hard g' is indicated by the letter that follows, not by two separate consonant letters, e.g. the first g of George and gorge.)
Notice in the above example (ня vs. на) that the vowel sound is considered to be the same, though the vowel letters differ. There are five basic vowel sounds in Russian, but ten vowel letters; five of these letters (called plain indicators) are employed to indicate that the preceding consonant is pronounced in the plain fashion, and the other five (called palatal indicators) are employed to indicate that the preceding consonant is pronounced in the palatalized fashion.
The whole system looks like this:
Vowel Plain Palatal Examples
sounds Indicators Indicators  
/i/ ы и мы, ми
/e/ э е тэ, те
/a/ а я Ђнна, Ђня
/o/ о ё тћмный, тёмный
/u/ у ю пнџ, пнє