When you finish reading a really good novel, you sort of sigh and look out the window and a few hours later are still trying to re-orient into the world.
When you finish studying a textbook, you either throw it out the window or shelve it - depending on what sort of student you are.
But when you finish learning a volume of Talmud, you have a
--at the last siyyum I attended, with about 150 of your closest friends, with a sit-down meal (and 200 cream puffs), and people speak, and sing, and then everyone stands up and dances in circles, as if it were a wedding.
My favorite part of a siyyum is what you tell the text you have just finished learning:
We will return to you, and you will return to us. Our mind is on you, and your mind is on us.
The connection between the student and his or her text is so personal that the Midrash (I think - can't find it) tells a story about one of the Talmud's volumes assuming human form to attend the funeral of a man who had learnt it.
And then you start the next volume.
Addendum: check out http://www.mysiyum.com/