James described it very well.
But to put it a different way: A synth has a sound Source, which is the oscillator. The Oscillator goes into the filter to change the sound. Like James said to shave off the high or low frequencies. Then that is fed into the amplifier section (sometimes called VCA) which has often 4 parameters: A D S R, which shape if the note is going to sound like a pad with a soft attack, long decay and sustain. Or if you want a bass sound, you use no attack (quick attack, no slow pad sound). The LFO will further change the sound. To think of what a LFO would do to a sound, think of a helicopter's top propeller blades. It makes that kind of sound, but can be even crazier/extreme than that. As you increase the frequency Speed of the LFO, the Helicopter blades would be spinning faster.
Where things really get fun is when you start moving the knobs while you're playing.
Hope that helps