Whenever the topic of happiness is mentioned, it's always discussed like it's the most important thing in the world. People talk about it like they would a hidden treasure or a rare beast - you have to seek it, hunt it, ensnare it and hold it tight, or it'll slip through your fingers. Perhaps it's just the contrarian in me, but this seems misguided - happiness shouldn't be searched for like the holy grail. Not that I don't want to be happy, but is that really the purpose of my life - to have my neurons stimulated in a way that feels good, and try to keep that up until I die? Why don't I just slip myself into a Soma-coma then? Of course, anything I do boils down to a particular stimulation of neurons, but that doesn't mean there's not something better to aspire to. To pursue happiness as an end itself I think, is backwards. It wasn't built into our brains because evolution was being nice - it's there because it increases our fitness. Happiness is designed to get us somewhere, not to be a destination in itself.
Fortunately, we're not obligated to follow evolution's whims. But this confusion might be the reason that, in general, we're crappy at predicting what will make us happy. A few data points:
-In an oft-quoted study, lottery winners are less happy than they predicted a year afterwards, and parapalegics are more happy.
-People tend to enjoy potato chips the same amount despite predicting (after being primed) that they'll either love them or hate them.
-Both assistant professors who do and do not receive tenure over-emphasize the impact the result will have on their happiness.
Our wanting system is seperate from our liking system, and, contrary to intuition, we don't seem to be wired to pursue things that will make us happy. Rather, we seem to be wired to pursue things, and then get a fixed amount of happiness from whatever we end up with. We try to get what we like, but we tend to end up liking what we get. Dan Gilbert refers to this as 'synthetic' happiness, and posits it as the reason people who miss big opportunities tend to say that "it worked out for the best." It's tempting to assume this is just a rationalization technique, but there's evidence it happens on a subconscious level. When amnesiacs are given a painting as a gift, later they tend to pick it as their favorite out of a group of paintings, despite not being able to remember owning it.
Where this system seems to get derailed is when we have to make extensive use of our higher brain functions. When have to make a complex decision or deliberate over a choice, we tend to be less satisfied with it. A few more data points:
-People are more satisfied with chocolate when they are choosing from six different kinds than when choosing from thirty different kinds. 
-People are happier with a photo when they have to immediately choose the one they want than when they're given three days to make their choice.
-People who simply rated a group of posters on a scale of 1-9 (and then received their favorite one) were happier than people who had to list the reasons they liked the posters first. 
-When given a choice of jams, people are more likely to make a purchase when choosing from six than when choosing from twenty-four.
Happiness is tied to affect, the subconscious system responsible for our 'gut' reactions. It's much easier (mentally, anyway) for us to make a choice and then decide it was the correct one than to weigh all the options and then be happy with whatever is 'best'. Barry Schwartz refers to this as "the paradox of choice". When we can't rely on a gut reaction, or are forced to supercede it by consciously deliberating, our happiness seems to suffer.
Though it's usually refered to as one emotion, 'happiness' is just an umbrella term for a variety of positive emotional states. These tend to fall into two groups - hedonia and eudamonia. Hedonia is pleasure - pure sensory stimulation. Eating a cookie, buying a car, having an orgasm are all hedonic pleasures. Hedonia comes from external stimulation, things outside ourselves that we pursue. Because we're wired to pursue things regardless of how much we already have, hedonia doesn't get sated. We quickly adapt to changes in our environment, always wanting more - more money, more food, and more sex. We get caught on a hedonic treadmill , needing more and more stimulation to produce the same amount of pleasure. Since we quickly return to our hedonic set points, this pleasure never lasts - nor should we expect it to. The ancient humans who were satisfied with what they had all got outcompeted by the ones who wanted more. But that means for sustained happiness, you have to look elsewhere.
Eudamonia, on the other hand, does produce lasting happiness. Eudamonia is 'well-being', and it comes, according to Martin Seligman, from identifying your strengths and orienting your life around them. Eudamonia isn't based on pleasure per-se, but on orienting yourself so you interact with the world in a positive way. For example, having fulfilling social relationships - being the type of person that cares about others - is consistently one of the best predictors of happiness. More data points:
-People who get married tend to be happier than single people.
-Spending twenty dollars on a gift for another person produces more happiness than spending twenty dollars on yourself.
-Writing a long, grateful letter to a person to whom you're thankful, visiting them, and reading it outloud produces extreme increases in happiness even months afterwards.
Other eudamonic states are Csíkszentmihályi's flow state , and the states of happiness reached by buddhist monks . All come from not from pure pleasure, but from constructing your life in a way that matches what's most important to you. It's eudamonic changes that center our lives around our values that are capable of raising our hedonic set points. And so, in the rich tradition of scientific studies being boiled down to aphorisms, "happiness comes from within".
Perhaps it's tacit knowledge of this that makes us suspicious of supposed extreme happiness offered by an external source. People generally reject eternal happiness if it means taking Soma for the rest of your life, or being locked into an experience machine, or being reduced to an orgasmium, or any one of a myriad of possible ways to max out those pleasure neurons. I don't see this as a bug - I see it as a feature. It means our desire for happiness is conflicting with some higher value. The solution to a conflict like this is, I think, straightforward - go with the higher value! Happiness is designed to help you achieve what's imporant to you - to take you somewhere your brain thinks you're supposed to go. A conflict means that your subconscious doesn't like where it's headed. And if you don't like it, you don't have to go there. 
The happiness heuristic seems to drive us to the best possible future outcomes, by motivating us to seek resources (hedonia) and have a life that fufills what's important to us (eudamonia). Our brains don't assign happiness intrinsic value - it has delegated value, in that acquiring it lets us acquire other things. Seeking happiness seems to be unnecessary; if you orient your life around your desires and values, happiness will generally follow one way or another.
Links (note: if anyone can provide a link to the actual studies referenced, rather than just newspaper articles, I'll replace them)