I had just read about this a few days ago. Here is part of it, from
http://www.allbrands.com/images2/common ... tions.htmlUpper thread breaks
1) Upper threading is not correct
2) Upper thread tension is set too high/tight
3) Upper thread is too large for the needle eye
4) Needle is inserted incorrectly
5) Incorrect spool cap
6) Shuttle Hook/Inner Rotary is not installed correctly
7) Incorrect bobbin being used
Lower thread breaks
1) Lower thread could be entangled in shuttle
2) Lower thread tension is set to high/tight
3) Lower threading is not correct
4) Shuttle Hook/Inner Rotary is not installed correctly
5) Incorrect bobbin being used
6) Burns on the needle plate
Also, it may be the brand isn't quite right for your projects. For example, I have a Brother something or other (I have a headache and can't think too straight right now), and I bought a Polystar thread collection with it. The thread collection worked beautifully on pre-programmed designs that came with my machine. But was horrid for purchased designs (from a reputable place). I switched over to Madeira, and it works like a charm. I can use the polystar for less dense purchased designs, and on thread colors that don't have too many stitches, otherwise I use the Madeira or Coats and Clark (and yes, a lot of people hate C&C, but it works great on my machine).
Also, I would suggest rethreading (thread and bobbin), and changing your needle. My motto for both my sewing machine and embroidery machine is this: If you are absolutely positive you have somehow broken your machine, change the needle. Like magic, the machine is fixed!"
What kind of machine do you have? Maybe someone has the same machine and can offer pointers on what thread works for them.