First of all, get a nice drink--coke, coffee, tall glass of tea. Then add some chocolate. Find your most comfy chair and enjoy your drink and chocolate. After you're completely relaxed, go back to the machine. Now, remove all the thread, the needle and the plate. Once that's done, clean and oil (if you have a machine that you're supposed to oil). Replace the needle with a new one, rethread the top thread and the bobbin. Now try again.
The only other thing is that you may have a bobbin that's too loosely wound. You might try rewinding it with a little more tension on the thread. If it doesn't work this time, go shopping and try again tomorrow.