yes oil will go boom..be very careful with fuel in the chamber if small spark happens boom in chamber as beenthere said and i agree ignition transformer may not be working common problem. some oil burnners have fuse link ?? some carbon up again common problem ...how old is furnace and what make???
Open up chamber and light a piece of paper and burn the unburnt oil laying in there before troubleshooting. Only press red reset button once if it don't fire call for service do not keep pushing the reset I know from experience I'm still cleaning soot and smoke out of my eyes,nose, ears, mouth 40 years later. You need to check the oil pressure and spark.