While The Zealous Nihilist's definition is correct, it's also a bit incomplete. Here's a (hopefully) more complete definition.

Let us first consider all sets to be contained in a bounded interval X, later we shall remove this restriction.

The outer measure m*(A) of a set A is defined as:

 *
m (A) = inf m(J)
        A⊂J
Or, in other words, the greatest lower bound of the measures of all the subsets J of the set A. The inner measure m*(A) is defined
                *
m (A) = m(X) - m (X - A)
 *
or equivalently:
m (A) = sup m(K)
 *      K⊂A
In other words the least upper bound of the measures of all the supersets K of A.

A bounded set E is said to be Lebesgue measurable if m*(E) = m*(E), and its Lebesgue measure is the common value of the set's inner and outer measures. One obvious property here is that a set E is measurable if and only if its complement with respect to X is also measurable, and m(E) + m(X-E) = m(X).

The restriction given above on the sets being contained in a bounded interval can be removed. Let A be a set which is not necessarily bounded. Let I(k) be the bounded interval [-k, k], for k an integer, and let A(k) = A ∩ I(k). Then the inner and outer measures of A are defined:

 *           *  (k)
m (A) = sup m (A   )
         k      (k)
m (A) = inf m (A   )
 *       k   *

For a possibly unbounded set E to be considered measurable, E(k) must be measurable for every k, and then m(E) would be

              (k)
m(E) = lim m(E   )
       k→∞

This definition is the same as the one above given for bounded sets.