"Eso" is a pronoun which is often translated as "that", and "lo que" is a phrase which is often translated as "what". Learn more about the difference between "eso" and "lo que" below.
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A phrase is a group of words commonly used together (e.g once upon a time).
No sé lo que quiero para mi cumpleaños.I don't know what I want for my birthday.
Lo que no entiendo es cómo entró el ladrón a la casa.What I don't understand is how the thief entered the house.