They lost big in Senate race after Senate race, picking up only one seat they thought was vulnerable and losing several they thought they could have won. Right now, it stands at 51 Republicans, 46 Democrats, and one independent (the rat fink who bolted from the Republican Party and threw the Senate to the Democrats, Jeffords from Vermont), with two races outstanding (South Dakota, where the Republican candidate is leading by less than 1000 votes out of 300K cast with 99% of precincts reporting, and Louisiana, where the incumbent Democrat was forced into a runoff to be held in early December). Even if the Republican from Rhode Island, Chafee, who's been rumored to switch were to do so, the GOP still has control of the Senate, since Vice President Dick Cheney would cast deciding votes.
Here in Minnesota, Mondale is projected to lose as I type this (AP called Coleman an hour ago and CNN did so a little bit ago), Pawlenty has won big (or as big as he could in an N-way race), and Republicans won both the state House and Senate seats that represent me. The Green Party will not gain major-party status, since they only got 2% of the governor's vote and 0.44% as of this writing of the Senate vote, both well short of the 5% required. The Independence Party will retain major-party status, though, as they got 16% of the governor's vote.
This is a big loss for the Democrats. Historically, in midterm elections (ones where the Presidency is not also up for election), the President's party loses a few seats. This is, I believe, the first time that an incumbent President has gained seats in both houses of Congress. (The elections of 1934 and 1982 had gains for the incumbent in the House only.) It's also a big loss for several high-profile Democrats who'd worked hard on the campaign trail, including the Democrat leaders of the House and Senate, and Bill Clinton.
Personally, I'm quite happy, as Congress can now get about the work of undoing the worst of the damage of the first Clinton years.