This is a song Bob Dylan recorded with The Band while he was 'recuperating' (conspiracy etc) from his motorcycle accident (more often referred to as the Basement sessions, tapes, etc). It didn't end up on The Basement Tapes or any Bootleg Series so far, which is nothing sort of ridiculous. It's release on the soundtrack to the film I'm Not There corrects this wrongitude.
Bob Dylan—I'm Not There (1956)
The song itself is among the best examples of Dylan Magic. If you really pay attention to the lyrics you'll find that they're nonsense, sounds Bob was singing, most likely to denote what sounds he wanted where, or just as a basic guide to a melody that he'd finish later. He never finished the song, and we're left with this ghost. But what a powerful Ghost!
It's a pretty simple song, but there's a subtle build with the instruments. Near the end, a little piano riff comes in, seemingly from someone entering the room, or waiting until they know the chords exact, and that waiting seals the deal. But the thing that really makes this song is the fact that even though the lyrics are mostly gibberish, the song still feels like it's about something. It feels like something is happening, feelings are being expressed, but they're being expressed without concrete images, which end up being more powerful than if they were specific. There are a few lines along the way that help it along ('well, I cried tonight, like I cried the night before', and the refrain of 'but i'm not there, i'm gone'), and Bob's delivery is also important, one of the more passioned of the time.
Interestingly enough, if you think of the film I'm Not There in similar terms, it makes a lot of sense. Check it out, and this song.