Suffering

There are three main categories of dukkha, according to Buddhism. These are:
  1. Suffering or pain (dukkha-dukkha)
  2. Impermanence or change (viparinama-dukkha)
  3. Conditioned states (samkhara-dukkha)
Suffering or Pain (Dukkha-dukkha). Ordinary suffering, as defined by the English word, is one form of dukkha. This includes physical, emotional and mental pain.

Impermanence or Change (Viparinama-dukkha). Anything that is not permanent, that is subject to change, is dukkha. Thus, happiness is dukkha, because it is not permanent. Great success, which fades with the passing of time, is dukkha. Even the purest state of bliss experienced in spiritual practice is dukkha.
This doesn't mean that happiness, success and bliss are bad, or that it's wrong to enjoy them.

Conditioned States (Samkhara-dukkha). To be conditioned is to be dependent on or affected by something else. All phenomena are conditioned. Everything affects everything else. This is the most difficult part of the teachings on dukkha to understand, but it is critical.

Suffering in detail:
  1. It is a state of emotional and mental distress which arises when we are experiencing pain. The pain is merely a sensation; the suffering is our personal "negative" response to the pain. The response includes thoughts, images, energy tones (i.e., emotions), and actions.
  2. The energy tones might include any of the "negative emotions": anxiety, fear, jealousy, envy, anger, disappointment, sadness, depression, guilt, shame, worry, insecurity, etc.
  3. The thoughts might include the following:
    • I don't deserve this pain.
    • This pain should not be occurring.
    • I hate this pain.
    • This pain makes me less than I should be.
    • The pain implies that I am a flawed person.
    • I am worried that I will feel more pain in the future.
    • There is too much pain in my life at this time.
    • There has been too much pain throughout my life.
    • This pain implies that the world is a cruel place.
    • Pain is a bad thing.
    • I am a helpless victim.
    • The world is evil.
  1. According to the Buddha, suffering is a fundamental state of life. Certainly, pleasure does exist, but suffering is still present during that pleasure, because (according to Buddhists):
    • Every pleasure is "incomplete." It does not give perfect pleasure. The difference between our ideal and our actual experience can be experienced as suffering.
    • Every pleasure ends eventually (simply because the world is constantly changing, and so the pleasurable object will change or depart).
      • When we are enjoying a pleasure, we tend to fear its end. For example, while we enjoy good health, we tend to fear disease.
      • When the pleasure does end, we tend to be attached to that past pleasure; for example, we experience pleasure with a person, and then we "miss" the person when he or she is not here. And we experience grief.
    • Some pleasures are never attained. In those cases, we might experience the unpleasant energy tones of disappointment, sadness, envy, etc. 
Source:  About.com