When I first used my Bailey machine the same thing happened and I was absolutely terrified. I had bent a needle and it was stuck half in if that makes sense.
My mother told me to take out the needle. I wasn't able to do that since it was jammed in there badly - so I had to unscrew the plate and remove the bobbin housing and all and then I was able to get the needle out.
You probably have something just stuck in there to be honest with you - clean it out really really good. Do you remember breaking a needle when you made the bags? It might have gotten lodged in the bobbin area - just take it all apart. You'll find the culprit ;)