If filament came out of the nozzle during the initial loading process, but isn't coming out for your first print, your nozzle is not clogged. What's more likely is that the filament at the feeder is ground down.
This can happen if you wait too long to press Continue during the initial loading. The feeder will then chew away at the filament as it tries to proceed through and won't be able to advance. Please check the back of the feeder and see if you see any sign that the filament is damaged. If it is, go to Maintenance --> Advanced --> Heat Nozzle. Rotate the dial until the number on the right is about 200C. Wait a few minutes until the number on the left matches it. The number on the left is the nozzle's actual temperature, and the number on the right is the temperature you've set it to.
With an Ultimaker 2 (2, 2 Extended)
As demonstrated in this short video, you can relieve the tension on the filament by sticking a screwdriver or something similar into the white circular opening on the back of the feeder and pushing it to the side. This moves the lever inside the feeder and will take the pressure off of the filament so that you can pull it out. While the 2Go has the same feeder, it's flipped over, and you won't be able to get a screwdriver in, because the lever is reverse side down.
With an Ultimaker 2+ (2+, 2+ Extended)
With an Ultimaker 2+, you can release the tension by pushing up on the lever on the side of the white feeder box and pulling the filament out through the bottom.
If the Filament Breaks off? (All Ultimaker 2 and 2+ Models)
If the filament breaks off (which sometimes happens if it's ground down severely), here are instructions for removing it out the front end of the printer.
What if no filament came out during the initial loading process?
If filament didn't come out during the initial loading process, take a look at your printhead. If during loading you start to hear a clicking, but nothing is coming out, sometimes the filament can get caught on the lip of the Teflon piece, and a slight push will get it past there. You may also see some filament come out of the nozzle other than the color you're using; this is the last of the filament that we used when testing your printer at our facility.