A) The tread on the spindle that the nut attaches to is stripped, which means you need to replace the pedal. They probably get sold in pairs. Walmart might even have them. Make sure you get the right size, or it will not fit into the crank arm.

B) The tread on the crank arm is possibly stripped. The Pedal spindle is steel, and most likely the crank arm is alloy. If both are steel...somebody probably "cross-treaded" when they put the pedal in. If you need to replace the crank arm...does the tread in the hole where the pedal goes look "stripped" of tread? ...that could be expensive, unless you can do it yourself with a salvaged part. You usually need to use a crank puller to separate the crank arm from it's spindle.