Ё-моё да блин, it was VERY difficult for me to properly hear the difference between ALL the hard and soft consonants in Russian -- because hard/soft distinctions are not "phonemically important" in English! So, in my first two years of studying Russian, the word люблю sounded to me like лъ-йу-блъ-йу, and нет sounded like нъ-йэт -- because that's how I was trying to pronounce the words.
But then, in my third year of Russian at the University of Virginia, we had a newly-arrived Ukrainian woman, Светлана, who drilled us on pronunciation -- and she would make us say ла-ла-ла, ля-ля-ля, лу-лу-лу, лю-лю-лю... over and over, and after about a week of that, suddenly it just "clicked" in my head, and I finally understood the phonetic difference between "hard" and "soft" consonants.
P.S. I was at UVa from 1989 to 1993 -- so although one could borrow VHS tapes of Russian movies from the "Slavic Studies Department", or listen to (boring) conversation exercises on audio tape, the convenience of hearing native Russian speakers over the Internet didn't exist!