The problem was my drop in bobbin, on a newer computerized machine. (Brother CE-4000) The thread is also thicker than my bobbin case usually takes. The instructions here helped out a lot: http://simpleanalogy.typepad.com/simple_analogy/2009/07/shirring.html

You’ve got to take off the faceplate (on mine, the plastic part around the bobbin case, not the metal presser foot area), and manually catch the thread on a metal tension hook that is near you, at 6o’clock. Then manually raise the bobbin thread by turning the needle wheel while holding onto the needle thread. You’ll catch a loop of elastic and pull it out through the top. Replace the covers, and you can start sewing. Top tension at 5.5 and stitch length at 4.

Also, hitting the shirring with steam was like magic. I thought I wasn’t getting enough shirring until I steamed it, and it shrunk by probably 40% more.