While there are almost no written documents in Dacian, we can find much about it from:
Romanian language contains about 200 words with uncertain origin (like brânză=cheese, veveriţă=squirrel etc), some of which haves cognates in Albanian. It is thought that they are only words left from the Dacian language after the Roman colonization. If this is true, then Dacian must have been in the same language group with Illyrian languages.
An alternate hypothesis (originally developed by linguist Bogdan Petriceicu-Hasdeu) is that Dacian was in fact a form of Latin, which could explain the quick "romanization" of the Dacians after the Roman Empire occupied a portion of Dacia (albeit only about on seventh of Dacian territory and only for 165 years).