As far as I understand, nani and nanda are roughly translated to "what" in English, though they have other connotations and meanings. When do you have to use one and when do you have to use the other?
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"Nani" means "what"
Nani has a tricky pronunciation as for:
If it precedes any word that start with "t" "d" or "n" sound, nani becomes "nan".
kore wa nan desu ka?. What is this?
kimi wa nani wo shiteimasu ka?. what are you doing?
And for "nan-da"; it is "nani" plus the short form of "desu", roughly meaning "what is (text)?".
Notes for "da":
"da" is a plain form, so it's for non-polite situations.
"da" can never be followed by "ka" (interrogative particle), it is normally followed by other particles as "yo", "ne", or "to".

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1I'd rather say "nan-" is the prefixing form of "nani". I can easily find an example with other consonants such as "nani" + "kai" → "nankai". – broccoli forest Jun 26 '16 at 05:49
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5Be careful! nanda (なんだ) can also be the spoken form of nanoda (なのだ), which "な + explanatory の + だ (copula)" and is used with nouns/na-adjectives. This pattern is rather common in informal spoken Japanese, so is definitely worth being aware of. In such cases, that なん has nothing to do with 何 (なん/なに) See the bottom section of http://www.guidetojapanese.org/learn/grammar/nounparticles – WeirdlyCheezy Jun 27 '16 at 04:09