Whats mastery?

Your mastery is a passive benefit to your character based on what talent specialization you chose. As noted in the tooltip for each paladin mastery here on Wowhead, you can increase the effectiveness of your mastery bonus by stacking items with mastery rating: http://www.wowhead.com/talent#s

Some classes or talent specializations desire mastery rating much more than others, depending on how powerful the bonus is to their role, but the basic idea is that this passive skill is attractive to you because of the talent specialization you chose.

I don't like Mastery because I can't figure it out.

I reforged everything to mastery, my dps went in the pooper. I reforged everything out of mastery, my dps went in the pooper too.

So I tried to balance all of my stats and... I still feel like I'm missing something.

Phooey on all of it, I say. :(

I'd guess its a middling stat for you. I don't know about mages, but for frost DKs, mastery is third after str and haste. Thus, if there's haste and something else on an item (crit, for example), you'll reforge into mastery, but if there's just mastery, you'll reforge out of it and into haste.

This is a good point. Pretty much all specializations have universally accepted stat priorities for PvP and PvE. In order to maximize the benefit of your gear, you need to know in which order you gem, enchant, and reforge stats. It's a balancing act I rather enjoy on my characters compared to previous expansions.

Some specializations favor mastery far less than we'd prefer right now, but in some cases this may change as gear gets more powerful in Cataclysm. In any case balancing mastery against other stats remains an ongoing mission. You're likely to see us touch upon that more as we go through the class role Ask the Devs Q&As.