Try to cut your thread on an angle to give it more of a point. Sometimes using wax will help make the thread stiffer, too.
I have a heck of a time threading them. Sometimes it feels like I'm trying to thread worsted weight yarn instead of thread.
Another tip I use is that I thread a whole bunch of needles at once and leave them on the spool. That way if I'm on a roll while quilting, I can just keep going rather than stop and fight to thread the needle.