You do not say the model of your boiler...
On my Potterton boiler (Profile 100e) when there's a call for heat first the fan runs and an air pressure switch senses that it's running OK - then and only then does the pilot flame come on.
You may have a bad case seal - a bad fan - a bad pressure switch a bad control board or a bad pilot flame gas valve.
A Gas Safe engineer should be able to solve the problem very quickly - be wary of him if he reports more than one failing component - sometimes they guess at your expense until they get it right - you will be paying for his expertise and accuracy in diagnosis. If he reports two bad parts ask him to prove it....
I am not a boiler engineer and am not qualified to give an accurate opinion here - I may be entirely wrong.
Call an engineer...
Peccavi
March 2011
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