If your furnace has 2 copper tubes (slightly larger than a pencil) running from the tank, then all you need to do is press the red reset button on the burner control.  The burner control is usually located on the burner chassis, although on some older furnaces it may be located on the chimney connector pipe.  If the burner cuts off after about 30 seconds, wait 1 minute and press the red reset button only once more!  If the burner still won't continue to run, call for service.  Don't press the reset button more than 2 times!

If the furnace only has 1 copper tube running from the tank, it is recommended that you call an HVAC tech with training in oil burners.  At your own risk to life and property, detailed procedures on "priming an oil burner" are available online.

Help! I Ran Out of Oil
If you have run out of oil, this may help get you through the night or weekend until a delivery can be made during regular business hours!
With an approved container, go to a convenience store or fuel station that sells either DIESEL FUEL or KEROSENE.  Fill the container with DIESEL FUEL or KEROSENE ONLY!  DO NOT USE GASOLINE OR A CONTAINER WITH EVEN A SMALL AMOUNT OF RESIDUAL GASOLINE!  Pour contents into your oil tank and proceed to the next step:
Set your thermostat to heat mode and set desired temp higher than actual room temperature.