The theory behind this is called the 'Deprivation Reversal Model'. Smoking creates stress between cigarettes, and removes it during and immediately after smoking. There's a little experiment that you can do that will make the idea behind this model more clear. First, find a wall. Any good, solid wall will do. Next, walk right up to it, so you're toes are touching it. Then, repeatedly bash your head into the wall. Go ahead! Keep doing it for about a minute, taking note of how you feel. Then stop, and again take note of how you feel.
Now I've never actually tried this myself, but I'm told that after you stop, you feel relief, the pain is reduced and you just generally feel better than you did when you were banging your forehead against solid concrete.
This the analogy for smoking. Banging your head represents the time between cigarettes (withdrawal), and stress gradually increases during this time. Stopping banging your head represents having a cigarette, after which, some of that stress is removed. The low-stress period lasts about an hour, then you re-enter withdrawal, and you're back up against the wall.
How do you know?
First you might ask yourself, if cigarettes relax you, why are they more pleasurable when there has been a long time since the last one? Surely the opposite would be true; if you had eight cigarettes in a row, you should get more and more relaxed, and perhaps eventually fall asleep. But you don't.
Second, when the mental health of a large group of people was tracked over a long period of time, researchers found that taking up smoking in the teens leads to various psychological problems further down the line; and these problems weren't as prevalent in people that didn't start smoking. (1)
Third, there have been some experiments testing the link between smoking and stress. Here's one example; mood questionnaires were used to compare smokers' stress levels with non-smokers and deprived smokers (smokers who had not smoked for about 12 hours). Here are the results:
As you can see, non-smokers had the lowest stress levels overall, but only marginally - smokers who had smoked earlier that day had roughly the same stress level as non-smokers, but smokers who had been deprived of cigarettes for 12 hours or more, had become pretty stressed out!
Then look what happens if you let the smokers smoke, let the non-smokers sit and rest for five minutes or so, and give the test again:
Deprived smokers are no longer deprived, so now their stress level is roughly the same as everyone else's. It seems stress isn't causing people to smoke, at least not primarily, but rather smoking is causing stress. (2)
Because of this, smokers' moods fluctuate through the day, with periods of increased stress between cigarettes and periods of normality just after smoking. It's a roller-coaster, not a particularly enjoyable one, and the heavier smoker you are, the heavier the ups and downs.
This is one difference between cigarettes and other forms of addictive drugs; rather than being in a normal state and then getting 'high', you are in a stressed state and then get 'normal'. Let's get normal! But from a smoker's perspective, it's the same experience. It's just like your subjective experience of stopping banging your head against a wall it removes pain, but only the pain it caused to start with.
Where smoking differs from our earlier head-banging experiment and by the way, if you actually tried that, you have bigger problems than smoking is that smoking is a behaviour that reinforces itself. You get chemically rewarded when you smoke, and chemically punished when you don't smoke.
I actually learned all this the day after I quit; by pure, ridiculous chance. I had a lecture on nicotine. I sat through 3 hours of talking about smoking and cigarettes, which wasn't particularly what I wanted to hear. But it did seem to work, because once I understood how nicotine worked, and the physical and mental effects smoking has on people, I didn't smoke again. Well that's not true, I actually switched to cigars for a while (and eventually stopped that too - ten a day was getting too much), but I definitely haven't smoked a cigarette since then.