it sounds like your thread is catching on somthing as it passes through the machine.
check the way the spool is loaded. if you're using thread on a standard spool, it could be catching on the little notch that holds the tail in place when it comes from the factory, or on a rough spot somewhere else on the spool's edge. try flipping it the other way or smooting all the edges with an emory board.
also check the whole path through which you thread the top. that may need cleaning, too.