Nja is a useful word to have in your arsenal.
It's a jumble of the words nej (no) and ja (yes), which you can use when you don't want to express an opinion on something outright. That might be because you don't have the information to give a concrete answer yet, or because you just don't want to pick a side. There's a similar construction in German: jein, from ja (yes) and nein (no).
So it might express hesitation, doubt, or disagreement. Depending on the context, the English equivalent might be something like 'We-ell…', 'yes and no…'. It's a perfect word to pull out if you're put on the spot in a debate and need to give a non-committal response.
Nja is often used like a counterpart of jo. Jo means 'yes', when answering a question posed in the negative, for example: Talar du inte svenska? Jo (Don't you speak Swedish? Yes, I do). And nja can be used to respond negatively to questions, without giving an outright denial: Talar du svenska? Nja, men… (Do you speak Swedish? Well, sort of, but…)
If you're trying to work out what Swedish-speaking friends really mean with their nja, be aware that it's usually slightly closer to the 'no' end of the 'yes-no' spectrum.
To really emphasise the doubt or hesitation, you can draw out the word for longer: njaaaa…
Men ni är väl vänner? – Nja, inte vänner direkt.
But you're friends, right? – Well, not really 'friends'.
Alla tycker ju om kaffe – Nja, jag tycker bättre om te
Everyone likes coffee – Well, I like tea more.