That is commonly called a Birds Nest, all the above advice is good.
Birds Nests most commonly happen because an amazingly small soft bit has got to the wrong location within your bobbin housing. It could be lint, a stray thread, or the thread off your spool or bobbin going awry due to being threaded incorrectly.
when I get a birds nest I do the following:
- remove spool and bobbin from the machine, fully unthreading it
- remove the bobbin race (where I usually find big grey lumps of lint, my most common enemy)
- clean the bobbin race & race housing with a q-tip dipped in sewing machine oil and/ or canned air*
- clean the upper thread race (all the places your thread goes on it's way to the needle)
- rethread & start again.
99% of the time this does the trick.
* canned air is not recommended for computerized machines because it can send the fluff up into the circuit boards, which is bad juju.