Many Spanish students find the trilled RR sound the hardest sound in Spanish to learn, but I've long thought that the J sound is more difficult.
Many people learn that the j is pronounced like the English "h" sound, but while that's close it's not entirely accurate. I was reminded of this recently as I was watching a movie from Spain that had a character named Maruja. I suspect that someone who didn't know Spanish names would have heard the name as Maruka (or Maruca) — that is the closest English spelling for what the name sounded like.
That was an extreme example of the j not sounding like the English "h," but the point is that the j is a sound produced far back in the mouth, not merely a puff of air. It's tricky for most of us native English speakers, because it's a sound that's not part of our language. It's something like a cross between the English "k" and "h" sounds.
In some areas, the Spanish j is soft enough that it's barely distinguishable from the English "h" sound, and if you pronounce it that way (as many beginning Spanish students are told to), you'll be understood. But as you become more familiar with the language, it's always a good idea to imitate native speakers to make yourself sound less like a foreigner.


Comments
Names are excellent examples for pronunciation because they should be pronounced correctly to avoid ongoing annoyance in a person you wish to be a friend, or at least not antagonize.
The only way to learn the proper pronunciation of the Spanish J is hear it over and over in several key words by a careful speaker of Spanish.
Jaime, Juan, Jesús, Julio all have the same J sound but in differing degrees. Jaime is the most extreme, and probably Julio the least of these.
My test phrase for mastery would be :
Es la tareta de credito del señor Juan Jiménez.
Que se divierten mucho ustedes.
Es la tarjeta de credito del señor Juan Jiménez.