# \par vs \paragraph

What is the difference between \par and \paragraph? I can skip a space between two paragraphs and have it retained on in the output on XeLaTeX. How is the effect different from using paragraph environment?

The \par command is used to end a paragraph. You can do the same thing by leaving a blank line (pressing Enter twice) in your document source.
The \paragraph command is a section heading. It is different from the higher section levels because it places its heading text in the first paragraph. For example, the code
\paragraph{Heading} This is my document text.

As far as I am aware, there is no paragraph environment--that is, a code construct beginning with \begin{paragraph} and ending with \end{paragraph}.