Sharon B is right on! It can be so many things. I have that problem most when I use those little spools of thread, like Sulky. The thread is wound around such a small spool that it has so many twirls and whirls in it that it just doesn't feed right. I found that out with my first embroidery machine and I quit using those little spools altogether. I ended up throwing them out because it wasn't worth the hassle to me.
If I am using the mini-king spools I don't ever have that problem, but sometimes my thread will wrap around the spool holder and get caught and break the thread. Also, a needle with a burr on it will sometimes cause your thread to break.
If I do have the problem, the first thing I do is check to make sure that the thread isn't catching on anything. Then I rethread my machine totally, then I try a new needle. If it is still breaking I throw away about 10 yards of the spool. Sometimes your thread gets too dried out and if you just pull some of the outer thread off and throw it away, it will work fine.
Hope you find the answer to your problem, cause it is so frustrating when this happens.
Julie