Is your tension ok? If the top or the bobbin tension is way too tight, all kinds of trouble can happen. Do you have a manual to go with your machine?
I'm going to suggest tension as well. I've had that happen a few times. Two of the times I just adjusted the tension and rethreaded the whole machine. The other times it would happen while I was sewing material used from bedsheets. I noticed when I'd use a different fabric, it'd work fine. Once again, that was probably just a tension thing as well.