Dukkah is a central concept in Buddhism. The word roughly corresponds to a number of terms in English including sorrow, suffering, affliction, pain, anxiety, dissatisfaction, discomfort, anguish, stress, misery, aversion and frustration.
Often rendered as "suffering," the concept's meaning can span the whole range from excruciating pain to "not-getting-what-I-want".
No single English word adequately captures the full depth, range, and subtlety of Dukkah. Many translations of the word have been used ("stress," "unsatisfactoriness," "suffering," etc.). Each has its own merits in a given context. There is value in not letting oneself get too comfortable with any one particular translation of the word, since the entire thrust of Buddhist practice is the broadening and deepening of one's understanding of dukkha until its roots are finally exposed and eradicated for good.
As soon as you think you've found the single best translation for the word, you will again find no matter how you describe Dukkha, it's always deeper, subtler, and more unsatisfactory than that.
Dukkah is one of the Three Characteristics.