I wonder what Putin told the leaders of Ukraine to get them to terminate their attempts at integration with the EU. As a Ukrainian citizen, I'm pretty sure I'd want my country to align with the EU rather than Russia too.
The depends on which part of the country you live in. The West is more for joining the EU, while the East prefers to keep closer ties with Russia. It's been like this for a long time because of the way the region has been split up between the regional players over the centuries. The East has also seen far more industrialization since the Russian Empire conquered the region from the Ottomans and it's always been an important part of the Russian hegemony. The two sides even have different religions: West is Catholic, East is Orthodox.
Having said that, which side to join isn't what started all the protesting. The real reason is that people are tired of government corruption. Pro Europe or pro Russia; it's just a matter of picking the lesser evil. It's just different gangs. Just recently I heard a story from a guy who moved to Canada recently about what it's like to have a business in Ukraine these days: one side takes power and it's just a different gang you have to pay off to stay in business. Pro European politicians are just as corrupt as any other. The last straw for this guy was when he was told he has to hand over his business because he got too big and was told that he should consider himself lucky that he is still alive. I've heard plenty of similar stories.
Why is it so bad right now? Because Ukraine is in a horrible economical situation and needs someone to bail them out. Either Europe or Russia. Russia is apparently willing to give more than Europe. The country is divided and every election has been really close. Europe has been working on Ukraine since the fall of the USSR and the last decades have seen a lot of pro Europe leaders, in particular Viktor Yushchenko (Orange revolution). Currently there's a pro Russia leader, Viktor Yanukovych. The problem is that no matter their "allegiance" to EU or Russia they all ended up pocketing whatever monetary support they got for themselves and their friends. Then there's the constant bickering and power struggles within the same party and a lot of politicians have served jail time for corruption of some sort. Who is currently serving depends on who is in power.
Maybe you remember Yulia Tymoshenko? The politician that is currently in jail and how a lot of countries in the West think it's wrong and what not? Well she was the PM under Yushchenko (and also Yanukovych) and people say that she was just as corrupt as either of them.
Ukraine is very important for Russia. Russia has always considered it part of its dominion. To most Russians Ukraine is part of them. They don't even really consider it a different culture. Even the name of the country is "neighbour" in the sense that it's just a nearby area of Russia. A lot of Russians feel that a lot of effort and sacrifice went into helping the region over the decades, in particular the eastern part of the country. Wether it's when Imperial Russia freed the region from the Ottoman Empire, the siege of Sevastopol during the Crimean War, WW2, etc.. The West has always been a bit anti-USSR by the way. Many people in the region even sided with Nazi Germany as a way to liberate Ukraine from the Soviets (and Jews, Gypsies, etc.).
Russia has always preferred to have a buffer between itself and it's enemies so losing Ukraine to Europe is a big deal. The same reason is part of why Russia got so involved in Syria. It's a threat to the stability of Russia as a whole as any major conflict could spark regional conflicts in contested areas in Russia, like the Caucasus.
The battle between the opposition (which happens to be pro Europe) and the current government in Kiev has been the most televised. It's just a battle zone at this point. But there has been protesting in other regions as well, including the pro Russian West where it's mainly been about corruption. While cops and soldiers shooting at people is impossible to justify from the side of the government the opposition has hardly been peaceful either. It's hard to call it that when you have gangs going around robbing and burning places all around the city, pictures and videos of people throwing molotov cocktails at cops and whoever is pro-gov (there was a recent case of a cop having his eyes cut out and then left to die). There are hooligans, opportunists and sadist on both sides.
One particular point that the media hasn't mentioned a lot is that one of the opposition parties is a Neo Nazi block that wants to get rid of all the "filth" in Ukraine and there have been instances of their members going around and beating up anyone that might look different.
So yeah, it's a mess and it's hard to pick a side.