Most writers have trouble writing a good conclusion. One exercise that might help you write a good conclusion is to wait until after you've written a good first draft. Try moving the introductory paragraph (see How to Write an Introduction), or the one with the thesis statement, to the end of the draft. Write a new introduction. Then revise the whole essay so that each paragraph flows and so the whole paper has coherence (see How to Write a Paragraph).
Conclusion = Closure
The conclusion is often simply one concluding paragraph, although in longer works, such as books, it might be many paragraphs or even pages long. The conclusion provides a sense of closure - that the interest or question "opened" by the introduction has now been "closed" by the body of the paper. The concluding paragraph makes it clear how this is true, and uses some way of indicating the completeness of the writing.
Concluding, and What Comes Next
In many scientific fields, but certainly in other types of writing as well, the conclusion indicates relevant questions for further study or exploration. While this might seem to contradict the idea of closure, in fact, the closure on the article or essay usually occurs just before this suggestion, and this suggestion of further research areas serves to provide a large sense of completeness. In many topics of public concern, this "further research" suggestion takes a different form - a call for further awareness of an issue or problem.
The Concluding Paragraph Consolidates What Came Before
The conclusion often makes clear how or why this topic is significant. It is highly unusual to introduce new ideas, new arguments, or new evidence in the conclusion. Frequently, a conclusion will connect to the introduction - by answering questions raised there, or through writing devices such as returning to a story or anecdote used in the introduction. In all cases, the purpose is to release the reader from the act of reading and return the reader to the world with some sense of having gained something from reading.