If someone has dignity, it means they are worthy of respect. If you really want the lead role in a play and you try to bribe the director to give it to you, she might say, “Have you no dignity?”
Someone with dignity carries herself well. If you lose an election, and you say nasty things about your opponent and try to undermine her, you are acting without dignity. But if you graciously congratulate her and accept the results, then you are behaving in a dignified manner. We also talk about human dignity, which is an idea of what separates humans from animals. Human Rights activists believe that everyone has the right to live with dignity.