The umbra is the darkest part of a sunspot. The penumbra is the less dark region around the dark part. Sunspots are caused by magnetic flux lines that penetrate the photosphere of the sun. Where they do that the temperature is cooler so the sun is not as bright in that region. This is what causes there to be a sunspot. The convection cells near this are therefore a little cooler and so not as bright as the photosphere but not as cool so not as dark as the umbra. This is why the penumbra looks less dark compared to the sunspot but darker than the rest of the photosphere. BTW, the photosphere is the surface of the sun.

Hope this helps.

Dear Jothsana: both previous answers are correct. But take into account that there is a magnetohydrodinamic effect for that: magnetic fields are associated with a "magnetic pressure" that complements "thermodynamical pressure" in the solar plasma up to the value of the environment pressure of equilibrium. So, where there is a magnetic field the thermodinamical pressure is lower, and the temperature diminishes (ideal gases law); as a result of the lower temperature the emission of blackbody radiation also diminishes.