"When they get near me--I can hear Voldemort murdering my mum."
     -- Harry Potter

Remus Lupin gives this excellent description of a dementor (PA10):
"Dementors are among the foulest creatures that walk this earth. They infest the darkest, filthiest places, they glory in decay and despair, they drain peace, hope, and happiness out of the air around them. Even Muggles feel their presence, though they can't see them. Get too near a dementor and every good feeling, every happy memory will be sucked out of you. If it can, the dementor will feed on you long enough to reduce you to something like itself...soul-less and evil. You will be left with nothing but the worst experiences of your life."

They feed on positive human emotions; a large crowd is like a feast to them. They drain a wizard of his powers if left with them too long. They are the guards at Azkaban and make that place horrible indeed. There are certain defenses one can use against dementors, specifically the Patronus Charm. A dementor's breath sounds rattling and like it's trying to suck more than air out of the room. It's hands are "glistening, grayish, slimy-looking, and scabbed." It exudes cold (PA5). 

The dementor's last and worst weapon is called the Dementor's Kiss. They pull off their hood and clamp their jaws on the mouth of the victim and suck out his soul, leaving him an empty shell, alive but completely, irretrievably "gone." (PA12, 20)

dementors - references
     on the Hogwarts Express (PA5)
     "They sort of freeze your insides, don't they?" (Fred Weasley, PA6)
     attend a Quidditch match (PA9)
     description by Lupin (PA10)
     the Dementor's Kiss (PA12, 20, GF36)
     defeated by Patronus spell (PA5, 12, 20)
     "sightless, soul-sucking fiends" (GF2)
     Dumbledore's opinion of them (PA
     feed on positive emotions, leaving only the negative ones (PA10
     hands pale, dead-looking (PA5
     give Kiss to Barty Crouch Jr. (GF36)