Hungarian and Russian are not related. As you pointed out, Finnish is a closer match. Finnish is a very hard language to learn, but according to some sources, Hungarian is even harder.
Russian uses the Cyrillic alphabet, while Hungarian uses an extended Roman alphabet.
Russian has 6 noun cases. Compare that to German (4) and Finnish (8). Hungarian has as many as 18 noun cases. For those who don't understand cases, it means that a noun has a different pronunciation (and spelling) depending on what part of speech it plays. There are 6 different ways to say 'park', 'book', and 'ball' in Russian, depending on what role the words play. There are a lot more ways to say these words in Hungarian.
So, I agree that Hungarian sounds like a difficult language to learn, and I have to believe what others have said about it - that it is one of the most difficult languages for an English speaker to learn.
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