The short answer is, they usually sound the same as the beginning of the word ‘jar’.
Now, the more complete answer:
The statement above applies to most of the Spanish-speaking world, but not all of it. In Argentina and Uruguay (specially in the areas around Buenos Aires and Montevideo), the sound associated with these letters is different, more like the first sound in the word ‘share’.
There are a few regions, however, where native speakers pronounce the ‘LL’ in a slightly different way than ‘Y’, giving it a softer sound. This difference is so minimal that I don’t think a foreign speaker would notice it… I’m not even sure native speakers would notice them all the time, especially if they grew up in a place where this difference doesn’t exist!
Keep in mind that the letter ‘Y’ can also represent the starting sound in the word ‘eat’. For example, in the phrase “Perros y gatos” (cats and dogs).