Since Ubuntu kernel 4.4.0-20 the
EFI_SECURE_BOOT_SIG_ENFORCE kernel config has been enabled. That prevents from loading unsigned third party modules if UEFI Secure Boot is enabled.
The easiest way to fix this issue is to disable Secure Boot in UEFI (BIOS) settings.
In most cases you can get into UEFI settings using grub menu. Press ESC button on booting, get into grub menu and select System Setup. Secure Boot option should be in "Security" or "Boot" section of the UEFI.
You can get into UEFI directly, but it depends on your hardware. Read your computer manual to see how to get there. It may be Del, or F2 on boot, or something else.
An alternative way is to disable Secure Boot using
Since Ubuntu kernel build 4.4.0-21.37 this can be fixed by running
sudo apt install mokutil
sudo mokutil --disable-validation
It will require to create a password. The password should be at least 8 characters long. After you reboot, UEFI will ask if you want to change security settings. Choose "Yes".
Then you will be asked to enter the previously created password. Some UEFI firmware asks not for the full password, but to enter some characters of it, like 1st, 3rd, etc. Be careful. Some people do not understand this. I did not get it from the first attempt either ;-)
Update: Now this kernel config is enabled in all supported Ubuntu kernels. Ubuntu 16.04, 15.10 and 14.04 are affected.