Swamp planet in the Sluis Van
sector of the
Outer Rim, near
Bpfassh. It was where
Yoda fled to escape the
Jedi purge, masking his presence in the
Force by living very close to a
Dark Side cave.
Luke Skywalker went there after the
destruction of
Echo Base on
Hoth, in order to receive training from Yoda. Unfortunately, he was forced to leave to try to help his friends at
Cloud City, and when he returned after freeing
Han Solo from his
imprisonment at
Jabba's palace, Yoda was on his
death bed.
There is very little that can be said about Dagobah's history - it appears to have been wiped out of star charts and historical records around the time of Yoda's arrival, perhaps by Obi-Wan Kenobi.
There is some speculation from Star Wars fans that Dagobah and Naboo are really the same planet. This seems improbable, though until Episode 3 comes out, it's impossible to say for certain.
Second and third paragraphs courtesy of www.aldera.net