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What is "doujinshi?":
"Doujinshi" is the Japanese term for published Japanese fan mangas. These are comics drawn by fans of the manga/anime. There are basically two types of doujinshi- parody/gag (humor) and...the ones with sex, graphic/not graphic or guy-guy/girl-girl. Check out the terms below for more information. (More detailed info at Doki Doki Station.)
What do I need to know about doujinshi?:
hentai: This term refers to graphic sex, so you'll have to be over 18 to purchase hentai doujinshi.

novel: This refers to text stories- pretty much like fan fiction written by the person/people who drew the doujinshi. If you look at some of the websites that sell doujinshi, they might have something like "30% novel" noted somewhere. This means that 30% of the doujinshi is just text, not illustrated stories.

parody: Parody doujinshi make jokes out of actual scenes from the anime/manga by revising them a bit. The result is usually hilarious.

shounen/shoujo-ai: This refers to guy-guy (shounen) or girl-girl (shoujo) romances involving sex, though it probably won't go as far as hentai.

yaoi: This refers to graphic sex between two guys. There's usually less actual plot than shounen-ai doujinshi.