I don't think they understand much of each other. Finnish and Estonian are more close to each other. But all are very hard to learn.
All I know about Hungarian is that you put "ok" after when in plural form. So Hungarians would be "Magyarok".
And their word for cockroach is "csótány". And their version of Carl is Káróly. And I know a few more names.
Hungarian names are quite nice. I especially like "Gyárfás" or "Járfás".
Overall, I like Hungary. I have a few Hungarian roots myself, thought it's a long time back.