It's generally a "y" sound, but in countries like Argentina, Uruguay, and Paraguay it's more of "j"/"sh". Sometimes it even sounds kind of like "jsh" so it can be hard to understand in Argentina when the sounds slur together. You get used to it pretty quickly though if you're there.

Thanks for your input, Raymundo.

In México we pronunciate it as Y. I have spoken with Salvadoran, Guatemalan, Cuban and Colombian natives and I noticed "y" sound. Like Mike said, if you encounter the j/sh sounds for "ll" you will quickly get used to it. One more thing, I have Puerto Rican relatives and they pronunce "r" as "l" except at the beginning of a word, like car: carro/calo but ratón stays the same.

I was mainly talking about South America, I think Spaniards are easier to understand if they don't talk fast. thanks for your help!

I just can tell that here, in Spain, we do not pronunce "ll" so that sounds exactly the same as "y". It might be more difficult for you to say the "ñ" word properly but with "ll" it,s like "jam" but a bit smooth. Go to FORVO.COM and listen to the word.