The key is making sure the thread sits properly in the tension discs before you start winding. Most bobbins have a little slot or guide on your machine where the thread needs to go first - check your manual for exactly where on your model. You want the thread coming off your spool, through that tension point, and then onto the bobbin. If you skip the tension part, the thread winds loose and uneven, which is probably what's happening with yours. Once it's threaded correctly through the tension, the bobbin should fill smoothly and evenly.
When you're actually winding, make sure the presser foot is up - this sounds silly but a lot of people forget and it messes with the tension. Wind a few layers by hand first to get the thread seated properly on the bobbin, then you can use the machine's speed. If thread is still getting tangled, check that nothing is fraying on your spool or bobbin itself, and make sure you're not using old, brittle thread that'll snap and tangle.
One more thing - if your machine has a bobbin winder that sits on a spindle, make sure you've got it positioned right and the bobbin is actually seated all the way on there. Some machines won't wind evenly if the bobbin's loose or sitting at an angle. It's fiddly at first but once you've done it a couple times it becomes muscle memory.