(Explanation from Sparknotes.com: This sentence, which appears in the first chapter, “Economy,” is perhaps the most famous quotation from Walden. It sums up the prophetic side of Thoreau that many people forget about; he was not just an experimenter living in isolation on Walden Pond, but also a deeply social and morally inspired writer with an ardent message for the masses. His use of the word “desperation” instead of a milder reference to discontentment or unhappiness shows the grimness of his vision of the mainstream American lifestyle. He believes that the monomaniacal pursuit of success and wealth has paradoxically cheapened the lives of those engaged in it, making them unable to appreciate the simpler pleasures enumerated in Walden. But the unpleasantness of American life, according to Thoreau, is more than simply financial or economic, despite the title of his first chapter. “Desperation” is also a word with deep religious connotations, the “lack of hope” that, according to Dante (one of Thoreau's favorite writers), was inscribed on the gates at hell's entrance. The Pilgrim's Progress, John Bunyan's Protestant spiritual classic and a bestseller in the New England of Thoreau's day, features a hero who passes through a bleak lowland called the Slough of Despair on his way to meet God. By asserting that most humans have gotten stuck in despair, Thoreau is implying that they are unable to continue farther on their pilgrimage toward true redemption.)
From Conclusion: "It is not worth the while to go round the world to count the cats in Zanzibar."