No-one knows. It is a hypothesis put forward to explain the "missing" mass of the universe. Whatever it is must be pretty massive, though. Large particles, Higgs bosons, toffee...your guess is as good as anyone elses.
There are basically 2 theories currently in vogue "WIMPS" and "MACHOS" (no kidding!). WIMPS are Weakly Interacting Massive Particles - essentially lots of stuff with which is very hard to detect, something like Neutrinos, but bigger. MACHOS are Massive something or other Halo Objects, but I'm not sure what they're about.
Both answers boil down to its out there, its heavy and we don't know what it is. Giving it an acronym doesnt explain it. I still think toffee is a good guess.