In undergraduate study, students build a foundation of general psychology knowledge. Classes are offered in a variety of disciplines. Students take the classes and use the knowledge from those classes to decide what they would like to specialize in. Graduate programs are often offered as a specialized degree and the program is meant to train students to enter that specific field as a researcher or a therapist.
The class load, credits-wise, is lighter at a graduate program. Most programs recommend a student only take three or four classes. All of those classes will be in the psychology department, or a related department like math or biology. Work-wise, the classes are probably more work than in undergrad. Graduate classes require more reading, more papers, and fewer tests. Classes are generally held as a discussion, rather than a lecture.
As an undergrad, a student was probably not required to have research experience. It is highly recommended for students intending on pursuing a graduate degree. As a graduate student, it is required for most students. The students participate in a research group based on more specialized interests for experience and, occasionally, for class credit.
To graduate from a graduate degree program, most programs require the student to complete a thesis. A thesis is a personal research project and study performed by the student. It must follow strict guidelines and be approved by the university's review and ethics board. Some undergraduate programs require a thesis if the student was in an honors' program.
Many undergraduate students fund their education through the government-issued Pell Grant. The Pell Grant is unavailable to graduate students, but many graduate students are paid to go to school. Doctorate programs, primarily, employ their doctorate candidates through research assistantships or teaching assistantships. In addition to the full-ride, those students with assistant ships often get a stipend as well.