Now there’s a question. The short answer is that we don’t know. We know things about it (there’s a lot of it, far more than there is of “us” stuff like atoms and electrons, we can see its effects in the way galaxies rotate and in what happens when galaxies collide (see http://en.wikipedia.org/wiki/Bullet_Cluster), but light passes straight through it and doesn’t make it shine (hence “dark”). And we have a few candidates for what it might be, but we’ve never been able to tie it down and the truth is that it is probably something we haven’t thought of yet.
Like Eugene said, no one knows what dark matter is, or even that it is definitely matter- there are still a few scientists that think the effects we see (such as bizarre rotation in galaxies) are due to “general relativity” (Einstein’s theory). Most scientists think it is either “hot” or “cold” exotic particles that do not seem to block out or give off light. However, we think we can see the effects of dark matter when we look at a galaxy that is behind a huge mass of dark matter: it seems to bend the galaxy’s light around it (gravity affects matter AND light!) This is something that Einstein predicted with general relativity. Amazingly, cosmologists estimate that ~24% of all the mass-energy in the universe is dark matter… coincidentally, 75% is dark energy, and only 2% is the matter that we can actually see!