Jenny from Sew-Classic had something about this on her blog. The last time I went looking for it though I couldn't find it.
Basically though, sometimes it's more the fabric, needle and thread combo.
My way of describing it is that when a stitch is made - the 2 threads basically "twist" around each other. That twist sometimes shows a little on top of the fabric, sometimes it's hidden inside - even if the stitch is properly "locked" in the middle.
If you stitch it out without thread and the holes line up and are straight, there's nothing wrong with the machine. If the holes are all over the place, there's something to troubleshoot.