Clinically speaking it is a chronic depression lasting more than two years with symptoms that are less than that or less severe than major depression. Symptoms include low drive, low self esteem, low capacity for pleasure. People with dysthemia can come off as critical, negative or as a stick in the mud. <- That's Wikipedia re-worded, I'm never that succinct but I added my own flair. http://en.wikipedia.org/wiki/Dysthymia
But to me its that constant feeling of "why am I not happy right now?" when everything is going quote/unquote good. The feeling that I want to curl up into myself and not bother dealing with the world. It's not being able to "snap out of it", not being able to enjoy the moment, not being able to congratulate myself on my accomplishments. Its being a child and not knowing why you're so different from the other kids because you see and feel things peculiarly.