Gratitude is correlated with a higher sense of well-being, agreeableness, openness and other positive emotions and has a direct negative correlation with depression according to this 2008 study by Wood, et. al. There are loads of other studies you can look into that all come to similar results linked on the Wikipedia article on gratitude, found here.
So in effect, gratitude is a good thing. Grateful people are happy people. But how to improve your own level of gratitude? The most effective way to improve your sense of gratitude over a long period of time is through keeping a Gratitude Journal, where every day, you write down three things you're grateful for. As a result of this news, I stared keeping a Gratitude Journal last week and haven't missed a day since. It takes about a minute to write down my three points and I happened to have this cute little journal that turned out to be perfect for this type of thing.
My challenge to you is to start your own Gratitude Journal and see how it changes your life. The effects start to show after about two months with an increasing amount of impact as time goes on. You can raise your overall happiness level by 25% just be being more grateful! My only question is why no one told me about this sooner!!