Using a Arduino as a furnace or boiler controller is fairly simple. You need a thermostat, a flame sensor, and a set of relays (electromechanical or solid state) to control the blower or circulator(s), and fuel pump if using fuel oil, or gas valve if using natural gas or propane.
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A tutorial on CdS cells is at http://www.ladyada.net/learn/sensors/cds.html,
and temperature at http://www.ladyada.net/learn/sensors/tmp36.html
See our thermostat project at http://www.instructables.com/id/The-Arduino-Weather-Station-Thermostat/