I have a small Janome and just FINALLY figured out what my problem with it was.
#1) It only like bobbins that are made for it, and those bobbins need to be wound on the Janome (I can't use any that are wound off my other machine)
#2) When threading the machine, the very first place you wind the thread thru in the back of the machine has a 2nd knotch in it that you have to make sure the thread goes thru. On my machine, the piece is metal -- and I was missing the first slot that's behind the machine. If you don't, the thread won't wind right on the bobbin either.
Hopefully this helps!