Usually it is one of two things. Either a bad extractor or a dirty chamber.

A bad extractor simply doesn't get a good bite on the rim of the case. I just had to reshape one on a Ruger 22 mag to get it to pick up the rim and extract the case.

A dirty chamber could be anything from rust to packing grease or dirt. Just give the gun a real good cleaning. Especially if you didn't clean it when you got it new.