If you have an older boiler (SEDBUK Band G), you should regularly check its pilot light, a small naked flame inside the boiler that you can see through a small hole covered by glass.
Newer high efficiency boilers don't need a pilot because they have electronic ignition. This is a much safer and energy efficient way to start your boiler, and more cost effective, because you are not burning gas you can't use.
However, if you do have a pilot light, it should always burn with a bright, solid blue flame. This shows that the boiler is burning efficiently and correctly. If your pilot light burns with a yellow or orange wavy flame, the gas is not burning cleanly and this could be a sign of a carbon monoxide leak.