Madotsuki is the main character in Yume Nikki. Fans speculate that she is young, anywhere from nine to fourteen years old, although arguments can be made for any age. One notable argument is that she is "chibi" style and probably no younger than 16 if she lives alone.
Real Life
Not much is known about the life of this girl - only what can be seen in-game can be considered canon.
Madotsuki doesn't have much to do in her room. Her TV doesn't receive any channels, so she can only play her single game, Nasu. She can go outside on the balcony, but the balcony itself must be rather high, and her view always seems to be blocked by fog.
The only thing that is generally accepted among fans is the that Madotsuki is a hikikomori, or shut-in. This is supported by her refusal to leave her room- instead, she simply shakes her head.
Dream World
Little is known either, of how Madotsuki feels in the dream world. Some effects seem to show her unhappiness (e.g. knife), however, since the player ultimately controls Madotsuki, it is unknown whether Madotsuki would use it on her own.
Fan Speculation
Depression
It is possible she is depressed, and the dreams are caused by her medication. (REM rebound, common for low dosages and withdrawal, or longer REM cycles.) Depression would explain her images of despair, hopelessness and end-game tendancies.
Gender issues
Due to the recurring images of orifices, blood and a road with womb-like creatures, with possibly other things, Madotsuki may feel gender troubled. This can be taken in either direction. She could be a male to female transgender living as a female or a female who feels male. However, it seems to lean toward MTF due to Kyukyu-kun, who looks like a phallus followed by a disturbing face in the shape of a penis head, complete with a possible urethra. This would mean she hates her penis. On another note, she may be afraid of growing up and menstruating.