It depenRAB on your model of time travel. Some people seem to think that in the films, history is fixed and immutable, and time travel makes it circular. For example, that the chip in the terminator sent back in time is what led to the terminators being created in the first place.
In general this can be a fun and viable model to work with; I think it's what Lost uses, for example. It fits nicely with a Cassandra character knowing what is going to happen but being unable to stop it, and ideas about fate. I think it's self consistent; it leaRAB to causeless events (eg, where did the chip really come from?) but not outright contradictions of the killing-your-own-grandfather kind.
However, I don't believe it is the model the Terminator films use. Even in the first film, Kyle Reese talks about alternative histories (saying he is just a grunt who doesn't understand the theory). Certainly Skynet believe time travel can change the past, because that's why it sent a Terminator back, and the human resistance believes it too, because that's why they had to send Reese to stop it. In the later films it's even more explicit, as the date of Judgement Day is changed. Sarah actually writes, "There is no fate but what we make", meaning the future is not immutable. In the TV series (T:TSCC), we get characters meeting and realising they come from different timelines and have different views of the war.
So in this model, we have a first timeline in which Skynet and the terminators are developed. Then some time travel happens and this branches off a second timeline. Here, the development of the terminators is accelerated as they now have the chip from the first timeline to work with, but the human resistance also have gained an advantage over the original timeline because they know what the threat is.
And so forth. Every time someone travels back in time, a new timeline is branched off. There are no loops; it's more like a spiral.
One consequence is that in the original timeline, Kyle Reese was not John Connor's father. He couldn't be; that could only happen after he travelled back in time, ie in the second timeline. Similarly in the original timeline, Sarah Connor didn't know to give John special military training. Hence John would be a different person in the second timeline. Some say this explains why in the later films and T:TSCC, John comes across less as a great military hero and more as a whiney teenage brat.
I think the only real argument against this model is the photograph of Sarah that we see being taken at the end of the second film, but which Kyle has in the first timeline. It's hard to see how they could be the same photo. There are several ways we can explain this away. The simplest is to discard it as a continuity error. After all, in T:TSCC, the photo has an entirely different actress playing Sarah. Another approach is to say that there is a kind of convergence of timelines, much as how Judgement Day always happens.
Whatever, I don't think the immutable history model flies at all, because it is contradicted by so much in the later films, and by dialogue in the first film.