Left luggage office in Dijon railway station
 

Some of you asked about it already and I could get a leaflet there at last.
This is what they wrote :
You can leave your luggage every day :
From Monday to Friday : 8am to 7.15pm
Saturday, Sunday and holiday : 9.30a to 12.45pm and 1.45pm to 5.45pm
Prices (from 1/July/07): 4€ one luggage, 2€ supplementary luggage.

After 7.15pm, go to the welcome office to get back your luggage. Go to the welcome office about twenty minutes before the departure of your train. Welcome office is just behind the coffee shop.
tel 03 80 40 14 45
SNCF service accueil bagages, 15 cour de la gare Dijon. (between the car rental agencies and the main entrance of the station)
Hope this helps! :-)

http://www.sncf.com/en/services/luggage-bicycles-pets
The SNCF site lists the stations with luggage lockers but also says Dijon has a left-luggage counter. I think this information is a year old.