Complexity theory is part of the theory of computation dealing with the resources required during computation to solve a given problem. The most common resources are time (how many steps does it take to solve a problem) and space (how much memory does it take to solve a problem). Other resources can also be considered, such as how many parallel processors are needed to solve a problem in parallel. Complexity theory differs from computability theory, which deals with whether a problem can be solved at all, regardless of the resources required.
The time complexity of a problem is the number of steps that it takes to solve an instance of the problem, as a function of the size of the input, (usually measured in bits) using the most efficient algorithm. To understand this intuitively, consider the example of an instance that is n bits long that can be solved in n² steps. In this example we say the problem has a time complexity of n². Of course, the exact number of steps will depend on exactly what machine or language is being used. To avoid that problem, we generally use Big O notation. If a problem has time complexity O(n²) on one typical computer, then it will also have complexity O(n²) on most other computers, so this notation allows us to generalize away from the details of a particular computer.
Example: Mowing grass has linear complexity because it takes double the time to mow double the area.
However, looking up something in a dictionary has only logarithmic complexity because for a double sized dictionary you have to open it only one time more (e.g. exactly in the middle - then the problem is reduced to the half).
Much of complexity theory deals with decision problems. A decision problem is a problem where the answer is always YES/NO. For example, the problem IS-PRIME is: given an integer written in binary, return whether it is a prime number or not. A decision problem is equivalent to a language, which is a set of finite-length strings. For a given decision problem, the equivalent language is the set of all strings for which the answer is YES.
Decision problems are often considered because an arbitrary problem can always be reduced to a decision problem. For example, the problem HAS-FACTOR is: given integers n and k written in binary, return whether n has any prime factors less than k. If we can solve HAS-FACTOR with a certain amount of resources, then we can use that solution to solve FACTORIZE without much more resources. Just do a binary search on k until you find the smallest factor of n. Then divide out that factor, and repeat until you find all the factors.
Complexity theory often makes a distinction between YES answers and NO answers.
For example, the set NP is defined as the set of problems where the YES instances can be checked "quickly" (i.e. in polynomial time). The set Co-NP is the set of problems where the NO instances can be checked quickly. The "Co" in the name stands for "complement". The complement of a problem is one where all the YES and NO answers are swapped, such as IS-COMPOSITE for IS-PRIME.
An important result in complexity theory is the fact that no matter how hard a problem can get (i.e. how much time and space resources it requires), there will always be even harder problems. At least for time complexity, and for polynomial-time decision problems, this is determined by the time hierarchy theorem. A similar space hierarchy theorem can be derived from it.
The complexity class P is the set of decision problems that can be solved by a deterministic machine in polynomial time. This class corresponds to an intuitive of idea of problems which can be effectively solved in the worst cases.
The complexity class NP is the set of decision problems that can be solved by a non-deterministic machine in polynomial time. This class contains many problems that people would like to be able to solve effectively, including the Boolean satisfiability problem, the Hamiltonian path problem and the Vertex cover problem. All the problems in this class have the property that their solutions can be checked effectively.
Questions like this motivate the concepts of hard and complete. A set of problems X is hard for a set of problems Y if every problem in Y can be transformed easily into some problem in X with the same answer. The definition of "easily" is different in different contexts. The most important hard set is NP-hard. Set X is complete for Y if it is hard for Y, and is also a subset of Y. The most important complete set is NP-complete. See the articles on those two sets for more detail on the definition of "hard" and "complete".