What's he saying?
"The expense of spirit in a waste of shame / Is lust in action; and till action, lust"
The wasteful, shameful expenditure of energy - that is what lust in action is. And until the real action, lust
"Is perjured, murderous, bloody, full of blame / Savage, extreme, rude, cruel, not to trust,"
Is dishonest, murderous, bloody, full of blame, savage, extreme, crude, cruel, and not to be trusted;
"Enjoy'd no sooner but despised straight / Past reason hunted, and no sooner had"
Lust is hated as soon as (or sooner than) it has been enjoyed, and pursued beyond reason; and as soon as it is had,
"Past reason hated, as a swallow'd bait / On purpose laid to make the taker mad;"
It is hated beyond reason, like the bait swallowed by a fish, offered with the intent of making him who takes it insane;
"Mad in pursuit and in possession so; / Had, having, and in quest to have, extreme;"
The taker is insane in pursuing one's lust and mad in possessing the object of lust: going to extremes in having had it, in the having of it, and in seeking to have it;
"A bliss in proof, and proved, a very woe; / Before, a joy proposed; behind, a dream."
A heavenly sensation when being had, yet a total woe after all; before having it, an expected joy; after having it, it seems like a dream, a lost ideal.
"All this the world well knows; yet none knows well / To shun the heaven that leads men to this hell."
Everyone certainly knows all this about lust, but still no one quite knows how to shun the hope of satisfaction that leads men to this hellish madness.
Why is he saying it?
This is another of the most famous sonnets, for in it the poet seems to engage the topic of sex explicitly and without reservation in a way that was not at all typical for Shakespeare's time. (Lust, however, could be applied to other objects of deep desire, such as money.) The overarching theme of the sonnet is the poet's contention that sexual fulfillment, or at least fulfillment out of lust, is something that is longed for desperately and ravenously right up until that blissful moment of climax - orgasm - after which it is immediately regretted. Yet despite the fact that "the world well knows" its consequences, the poet claims, no one is quite able to avoid the sinful temptations of lustful desire.
The poet wastes no time in getting this point across. He abandons his characteristic use of ambiguity in favor of unequivocal words of condemnation, as we see in his description of lust before action in lines 2-4: "till action, lust / Is perjured, murderous, bloody, full of blame / Savage, extreme, rude, cruel, not to trust." His frankness continues throughout the sonnet as he repeatedly bemoans the regret one experiences after succumbing to lustful temptation.
It is unclear from the sonnet whether the poet is describing sexual intercourse in general or only that which occurs out of lust but not love. But due to the sonnet's place within the dark lady sequence and the assumption that the narrator's regret comes from his inability to control his lustful urges, we are led to presume that it is the latter. The focus here is on the contrast between lust before action and regret after action, with action being the act of sex, the consummation of desire. Lustful sex is thus described, "A bliss in proof, and proved, a very woe" (here "to prove" means "to try" or "to accomplish"), and he who succumbs to lust is thus likened to the fish that has swallowed bait: "Mad in pursuit and in possession so."
Note that sonnet 129 is full of contrasts: "before" vs. "behind" (after), "heaven" vs. "hell," and so on. The "heaven" of line 14 is the "bliss in proof" of line 11, while "hell" is the "very woe." Also note the possible pun in line 1: "waste of shame" sounds like "waist of shame," which some critics have interpreted as the waist of a prostitute. Finally, we can compare this sonnet with sonnet 94 for the absence of "I" and "thou"; the impersonal perspective found here, otherwise rare in the sonnets, is perhaps a sign of the poet's malaise with regard to his own role in the situation. He has engaged in lustful sex and regrets it, and now wishes to condemn the act without explicitly admitting his own experience.
The fact that sonnet 129 is so full of contrasts is a good segue into a brief discussion of platonic love versus carnal lust as explored in Shakespeare's sonnets. Sonnet 129 contrasts heavily with, for example, sonnet 20 in that the present sonnet deals with lust while sonnet 20 deals with love. The contrast becomes obvious when we compare the "savage, extreme, rude" of sonnet 129 with sonnet 20's "master-mistress of my passion." While the narrator here regrets his lustful urges immediately after he has acted upon them, there is no such regret to be had in the case of his love for the fair lord; for even if the narrator may have longed for the fair lord sexually, the act of consummation never took place, nor would it ever, as many scholars agree. The contrast thus created diametrically opposes the fair lord and the dark lady, with the narrator betwixt them and torn from both sides in different ways.