Yes, it happens all the time when you are just getting started burning. With out knowing more details like what burner you have, whether it is a stand alone burner or in a computer, what burning program you are using (if it is a burner in a computer) and what media you are using I can just tell you the most common problems.
1: Poor brand of media.
2: Poor quality burner or burner needs the firmware updated.
3: Poor or outdated burning program.
4: Burning too fast or too slow.
5: Wrong media type (DVD-R, DVD+R). DVD+R with the booktype set to DVD-ROM seems to be the most compatable with most stand alone players.
If you can give us more info on what burner, software and media you are using would help us get to the exact problem causing this.