[bambataa]

When I studied Russian we were taught (by native speakers) that щ was pronounced “shch”. But then when we went to Russia literally everyone pronounced it like a longer and softer ш. I still don’t really understand what happened there.

[nine_k]

You will hear "shch" in St. Petersburg, and a softened "sh" in Moscow. AFAICT more regional variations exist, e.g. sounding like "sht".

Interestingly, you will also hear "shch" in Bulgaria.