Websites are harder to read than normal text on a piece of paper so you'll notice that when you hit the button your cursor will skip a line and there will be a blank space between each paragraph. This increases whitespace and makes your pages a little easier on the eyes. But sometimes you don't want that extra space and just want the next line to be directly below. Example:
This line was created after clicking [Enter].
This line was created by clicking [Enter] + [Shift].
If you want your paragraphs to have no space between them and be on the very next line, just hold down the shift key and then press enter.