For very young children, the main reason listening comprehension is difficult is that there are simply too many new and unfamiliar words. Even upper primary or secondary students who have studied for years - and who know hundreds or thousands of English words - often still find listening comprehension quite difficult.
The problem with listening comprehension is that when they listen to an English speaker, they have to recognize the words very quickly. Unlike reading, where they can pause to think about what a word means, listening usually doesn't allow them to pause at all.
So it is very important to build "listening fluency”. Obviously, this is a skill that is built mainly through practice - lots and lots of practice.
The most important thing is to find listening practice material that has the right level of difficulty. If you face your students with something that is very easy to understand, it will not challenge their listening skills to improve, and they will probably become bored. But if you use listening that is too difficult, your students will not be able to understand it even if they listen many times, and they will become discouraged or frustrated.
Here are some sites for choosing material for listening practice.
Rong-chang.com Here you can find hundreds of easy short stories for children and ESL/EFL beginners to practice reading and listening. They are very useful for quick listening comprehension activities.
Hello-World.com Simple dialogues for non native speaking children.
eslfast.com. A free site with lots of short stories and conversations for ESL/EFL learners to practice listening and speaking.Hundreds of easy conversations, short, interesting, with slow audio.
ESLPod Lots of listenings some of them useful for primary students
Ello.org A great variety of listening games for beginners.
British Council. A classic web site with some easy listenings for children.
La Mansión del Inglès. Listening resources divided up in three levels of difficulty.
Real English. with some sample listenings..
Adele's corner. Easy online listening activities with blank filling exercises.
About.com English listening comprehension exercises for basic listening skills such as the alphabet, numbers and simple dialogues.
EnglishLingQ.com Blog with a variety of graded podcasts. I just link here the beginners section.
Beenleigh State School from Queensland Australia. It has a long list of easy stories to listen apart from other very interesting things such as literacy or ESL activities.
VideoNation is a BBC site with a huge archive of videos provided by ordinary people talking about different topics. Probably too difficult for primary students but you can select parts of the videos to watch and listen to.
Randall's ESL Cyber Listening Lab. This is a site with all level of difficultiy listening quizzes.See the section "Basic Listening Quizzes" with short listening activities for beginning and intermediate students.
Select-Language.com is an interesting site with oral ‘postcards’ from different English speaking communities. You will find them graded by levels of difficulties.
ESL/EFL Conversation questions under different topics for the ESL Classroom. They are not listenings but they are very useful for designing roleplays and dialogues.
Remember! If you cannot find listening activities with the right level of difficulty, it is usually better to choose easier listening rather than harder - but not so easy that your students cannot learn anything new from it.