I was always living in the past (memories) or in the future (expectations). Both of these are painful places to be. It keeps you "stuck" unable to move in the direction you want because you're frozen in anxiety or depressed. Not living in the moment means you aren't taking advantage of what you can do right now. You're too busy thinking about last year or next year, not about what you can do today.
Living in the present moment is the best thing you can do for yourself, and really appreciating each moment and asking yourself what you want to do each moment while focusing on putting yourself in a better mood, that's the key.