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Klasse vs. Unterricht vs. Stunde vs. Lektion

The German words Klasse, Unterricht, Stunde, and Lektion can all be translated as class or lesson in English, but they are not interchangeable. Each word refers to a different aspect of learning: the people, the process, the time, or the content.

Klasse

A1
The word Klasse primarily refers to a group of students who are taught together, equivalent to a class or grade in school. It can also refer to the physical classroom itself. In colloquial German, klasse is also an adjective meaning great or awesome.
Meine Tochter geht jetzt in die dritte Klasse.
(My daughter is in the third grade now.)
Die ganze Klasse fährt nächste Woche auf Klassenfahrt.
(The entire class is going on a class trip next week.)
Der Lehrer betritt die laute Klasse und bittet um Ruhe.
(The teacher enters the loud classroom and asks for quiet.)
Das Konzert gestern Abend war einfach klasse!
(The concert last night was just great!)

Unterricht

A1
The word Unterricht refers to the general concept of instruction, teaching, or schooling as a whole. It is an uncountable noun and describes the process or activity of teaching, not a single, countable session.
Der Unterricht beginnt jeden Morgen um acht Uhr.
(Classes (in general) begin every morning at eight o'clock.)
Wegen des Schnees fällt der Unterricht heute aus.
(Due to the snow, school is cancelled today.)
Sie gibt privaten Klavierunterricht.
(She gives private piano lessons.)
Guter Unterricht motiviert die Schüler.
(Good instruction motivates the students.)

Stunde

A1
The word Stunde refers to a specific, scheduled period of instruction, like a period or lesson on a timetable. While it literally means hour, in a school context it refers to a teaching block, which is often 45 minutes. It is a countable unit.
Die erste Stunde am Montag ist Mathematik.
(The first period on Monday is mathematics.)
Wir haben heute fünf Stunden und dann frei.
(We have five lessons today and then we are free.)
Ich habe in der nächsten Stunde eine Prüfung.
(I have a test in the next lesson.)
Die Englischstunde war heute sehr interessant.
(The English lesson was very interesting today.)

Lektion

A1
The word Lektion refers to a unit of learning material, such as a chapter in a textbook or a module in a course. It focuses on the content being studied, not the time spent studying it. It can also be used figuratively to mean a life lesson.
Als Hausaufgabe müsst ihr Lektion 5 im Buch lesen.
(For homework, you have to read lesson 5 in the book.)
Diese Lektion zur deutschen Grammatik war sehr schwierig.
(This lesson on German grammar was very difficult.)
Der Online-Sprachkurs besteht aus zwanzig einzelnen Lektionen.
(The online language course consists of twenty individual lessons.)
Das war eine teure Lektion, die ich nie vergessen werde.
(That was an expensive lesson that I will never forget.)

Summary

In short: Klasse is the group of students. Unterricht is the general concept of instruction. Stunde is a specific, scheduled lesson period on a timetable. Lektion is a unit of content in a textbook or course.