Learn Dutch: Ik vind het jammer dat je weggaat. - I think it is a pity that you are leaving.

The word dat starts a subordinate clause, which forces the verb to the end of the sentence. Weggaan (to leave) is a separable verb. In a normal main sentence, it splits up (like je gaat weg). But when the verb gets pushed to the end of a clause like this, the two parts stick back together as a single word: weggaat.

Can I skip the word dat, like how we sometimes say "I think it's a pity you are leaving" in English?

No. In English, we often drop the word "that". In Dutch, you can never drop the conjunction dat when connecting a main clause to a subordinate clause.

Why use vind here when the translation says "think"?

In Dutch, when you are expressing a personal opinion or feeling about something, you use vinden (literally "to find"). You generally only use denken when you are talking about the actual process of using your brain to think or guess. So, Ik vind het jammer literally means "I find it a pity".

Do I really need to include het in the first part of the sentence?

Yes, you need it! Just like the English phrase "I find it a pity", Dutch requires het as a placeholder object before the adjective jammer. You cannot just say Ik vind jammer.