The most common theory is where a star or other massive object collapses from their own gravity to form an object which has infinite density, or a singularity.
Throughout a star's life, nuclear fusion generates radiation which exerts an outward pressure that balances the inward pull of gravity caused by the star's mass. However, when the nuclear fuel is exhausted, the outward push diminishes and gravity compresses the star inward. The contraction of the core causes a rise in temperature and allows the remaining nuclear material to be used as fuel.
When the fuel is used up, the star collapses. The star's final mass and the remaining outward force determine how far it collapses, into what kind of object and at what rate. If it is 25 times as massive as the Sun, it may eventually become a black hole. Otherwise, it may become a neutron star or white dwarf star.
"Dark Gulping" Theory
This new theory states that the extremely massive black holes are actually formed by dark matter collapsing.
dark matter: matter that makes up perhaps 90% of the mass of the universe, but not detectable by its absorption or emission of electromagnetic radiation
Supported by a computer model, it suggests that a very large cloud of dark matter may have existed in a certain point of space. After being in contact with large amounts of gas, this could may have started to slowly form a central mass, eventually reaching thermal instability. Assuming that the newly formed central mass cannot handle heat well, even a small distubance could cause the core to collapse. It would be unseen at first, but after growing and eating up the matter around it, it would become visible over time. Matter would swirl around it and heat up and become luminous. However, the core and event horizon would still remain to be inconspicuous from direct observations.