Undo as everyone knows, is to go back any number of steps backwards, so that you can remove the previous action, and go to the previous state. (Shortcut is Ctrl+Z)
In Lightroom, there is a feature called History, which displays all the modifications, effects you used on a particular image. One great thing about History panel in Lightroom is that the entries will not get erased, but will be available even when you close Lightroom and open another window. The History panel displays the details of the changes you did. You can click on a particular entry and click on it and the image will go that state, removing all the changes to the image (but of course you can go to the latest changes, again by clicking on the latest entry). But if you make changes after going back to an earlier entry, you will lose the entries (changes) you did after that. You can expand and collapse the History panel by using Ctrl + Shift + 3 combination, and then move using arrow keys along the entries.