su stands for switch (or substitute) user. With no user name given, it defaults to switching to root. It prompts for the password of the user you're switching to.
sudo is used to run a command as root (i.e., with root permissions), or as other users. It prompts for your password, and checks that you're allowed to use sudo.
When you type su, you're asking to switch to root, and the password that's requested is the root password. When you type sudo su, you're asking to execute the command to switch to root as root, so the password that's asked for is yours.
