Is in backwards, Needle mantra is "insert needle with the flat shank to the back of the machine". Needles have a scarf (cut out) at the back where the hook swings through and catches the thread, if it isn't facing the right way, then the thread can't be caught by the hook.
Is it fully up into the needle housing?
Is it the right needle for the machine. Most domestic machines take the standard 705/130H system needle.
Is it bent, blunt or burred, always start each job with a new needle from the packet, choosing the right sized needle for the fabric weight, and sharp for wovens, or ballpoint for knits.
Good needle chart, threading and machine cleaning info at www.sewing.about.com
if you don't have a manual.
If you have tried all these things and still no joy, then it is possible that the machine timing has been knocked out, ie the sequence between needle at it's lowest point and when the rotary hook swings around and catches the thread from the back of the needle. But try the above first and I hope it resolves your problem. Timing is best left to a trained technician.