I must join the chorus with a big WTF? I was embarrassed for Obama. I'm glad he said that he didn't deserve it. He didn't.
The only explanation I can come up with is that the award has something to do with the plague of hubris that darkened relations with our friends around the world during eight years of Bush-Cheney leadership. If that is the explanation, then the award might represent an expression of relief and, perhaps, hope that things will be different in the coming years. Whether Obama will accomplish anything significant enough to actually deserve a Peace Prize remains to be seen.
Poking around the net, I see that even some Obama supporters don't think he deserved the award (e.g. the commenters here).