Anandamaya kosha is the most interior of the koshas, the first of the koshas surrounding the Atman, the eternal center of consciousness. Ananda means bliss. However, it is not bliss as a mere emotion experienced at the level of the sheath of mind. Ananda is a whole different order of reality from that of the mind. It is peace, joy, and love that is underneath, beyond the mind, independent of any reason or stimulus to cause a happy mental reaction. It is simply being, resting in bliss called ananda. Yet, even this bliss, however wonderful it is, is still a covering, a sheath, a lampshade covering the pure light of consciousness. It is the subtle most of the five koshas. In the silence of deep meditation, this too is let go of, so as to experience the center.
Atman - Self
Atman is the Self, the eternal center of consciousness, which was never born and never dies. In the metaphor of the lamp and the lampshades, Atman is the light itself, though to even describe it as that is incomplete and incorrect. The deepest light shines through the koshas, and takes on their colorings. Atman, the Self, has been best described as indescribable. The realization of that, in direct experience, is the goal of Yoga meditation, Advaita Vedanta, and Tantra practices.