Step 1: Re-thread your machine! Make sure the bobbin is inserted the right way and that the upper thread has made it through every loop, hoop, or guide it's supposed to go through. Missing even a single step can be enough to drastically alter the tension, resulting in poor stitches or thread nesting.
Step 2: Clean out the bobbin area! Lint, dust, lost threads, and other unwanted debris caught in the bobbin area can have an enormous, negative impact on the quality of your stitches. When cleaning, remember that the goal is to get the debris OUT of the machine, not to push it farther in. So you want to avoid blowing into the machine or using compressed air. Micro vacuum attachment kits are relatively inexpensive, attach to most all vacuums, and are ideal for cleaning in all small spaces, not just for your sewing machine (computer, car, keyboard, stereo, etc.).
Step 3: Replace your needle! Most sewers have no idea that their needle should ever be replaced or that it should be replaced as often as at the beginning of every project or after eight hours of sewing. The condition of the needle is of the utmost importance to not only the quality of the stitches, but even the life of your machine. The slightest nick or bend in a needle can, at best, affect the quality of stitches. At worst, it can actually damage your machine! So if in doubt, it's usually best to go with a fresh needle of the appropriate size and type.
Step 4: Use a quality thread! Not all thread is created equal. If you're using an off-brand, cheap, or poor-quality thread, chances are switching thread could really help out with the quality of stitches, the quality of your project, and your growing headache.
Step 5: Adjust your tension! A lot of sewers are intimidated by adjusting the tension, but once you understand how tension works, you'll learn it's nothing to really be afraid of. Basically, there's a tug-of-war between the bobbin thread and the upper thread. The key is to get the same amount of pull on both sides. If you increase your upper tension, the more the upper thread will pull the bobbin thread up. If you decrease the upper tension, the more the bobbin thread will pull the upper thread down. To get the tension balanced perfectly, change your bobbin thread to a color different from your top thread - this will allow you to see just which side is winning, and which is losing, in the tug-of-war.
Step 6: Hold onto those threads! If you're only having trouble at the beginning of a seam, before you start sewing, make sure to pull the bobbin thread up by manually rotating the hand wheel towards you. Pull the thread tails out about six inches or so and, as you start to sew your first stitches, hold the thread tails taught. There's no need to pull the thread tails while sewing - you just want to hold them taught so they don't get in the way of the stitches.
Step 7: Get your machine serviced! If you're still having trouble with thread nesting, skipped stitches, or no stitches, it may be time to get your machine serviced. In most every situation, the above steps will be enough to troubleshoot any thread or stitch problem you may have. Occasionally, though, the machine itself may need a tune-up.
If you are still having problems with your thread or stitch formation, get a photo and post in the Sewing It Up - Sewing for Beginners Facebook group! We're always here to help. :)