Can someone tell me the main benefits and differences between Managed disks and Unmanaged disks, various pros and cons of the managed and unmanaged disk and how best can I use this?
Essentially, Managed Disks are easier to use because they don't require you to create a storage account. I think Azure still creates one, but this detail is hidden from you.
The benefit of not having to manage a storage account is that storage accounts have limits, like max IOPS, so that if you place too many disks in a storage account, it is possible that you will reach the IOPS limit. Azure takes care of this for you.
If you have VMs in an Availability Set, Azure will make sure that disks are on different "stamps" ensuring that disks are spread out so that you don't have a single point of failure for the disks.
As for a Con, I've encountered two (but there are probably more):
When taking snapshots they are Full Snapshots, not incremental, so this adds to storage cost.
If you are setting up a Disaster Recovery between two Azure regions, using Recovery Services, managed disks are not yet supported.