This may seem silly - but you are remembering to put the foot down, right? With the hopping foot, it can look down even when it's not (so top tension not engaged) and then it's a huge - huge bird's nest underneath.
And if the foot is down, then double check that you actually have the thread correctly in the tension disks. I've got at least one machine that you can actually get it on the outside of the two pressure disks, so it's not getting any tension on the upper thread at all. Also make sure your bobbin case is inserted correctly, and not sticking out in a way that is catching the upper thread and not letting it get pulled back up by the uptake lever properly.
Another thing to look - is the thread popping out of any of the guides and wrapping where it shouldn't while you sew? These are some of the more common problems I see people posting on the Bailey quilting Yahoo group - the machine is easy to have tension problems if a person is use to sewing on a machine that "does it all for you" and not a mechanical one - I personally have very few problems, but then I'm use to sewing on mechanical machines.