The gas jets on my furnace light up and turn on ok when the igniter turns on.?

After the igniter turns off the jets turn off as well. sometimes this will happen 3 or 4 times before the jets finally "catch" and stay lit. Other times they won't stay lit and the blower kicks on anyway and blows cold air until I shut it off to retry. Any ideas on what my problem is? I use Propane.