Sounds like the above folks have covered the most common causes. I too had similar problems. In my case I was either moving too fast, too much weight on the Z axis, and once forgot to fully tighten my bit!
But what about not enough power to your steppers?
Are your stepper cables shielded? Could they be getting interference from something?
Good luck with that. Nothing like having a new machine almost working to drive you up the wall. Been there, done that.
My 8x4' 8020inc | CNCRouterParts R&P build log: http://www.cnczone.com/forums/open_source_cnc_machine_designs/126280-4x8_8020_r_p_cncrp.html