Nicotine stimulates dopamine production.  (Dopamine is the neurotransmitter that arouses feelings of pleasure.)  When the brain no longer needs to produce as much dopamine (because nicotine is doing it), it doesn't.  When you stop sucking down nicotine, there is a lack of dopamine production in the brain for some time.  A lack of dopamine feels like sand is coursing through your veins.  That is why smokers tell you they feel better.  They do.