Pressing Enter (or Return) creates a new paragraph, separated from the previous paragraph by the ‘space after’ paragraph setting. By default this gives you a blank line between paragraphs, but you can set it to any value: set it to zero if you want no extra space between paragraphs (which you would usually only want if you’re using first-line indents).

Pressing Shift+Enter (or Shift+Return) gives you a line space without creating a new paragraph.