If your furnace sounds like a cannon firing when it starts up, it probably means that you have a dirty burner assembly. Carbon particles build up on the furnace burner assembly over time, eventually clogging the jets and causing them to fire later than they should. When the jets finally do ignite, they burn through a lot of excess gas and cause a deep booming sound. Having the burner assembly cleaned should fix the problem. Best to do it quickly, though, as the longer the particles buildup the more likely it is that they will completely clog the assembly.
Furnaces use air handlers to move air around the house. The air handler is essentially a large motor with a fan attached to it. The fan uses oiled bearings to cope with the friction generated during operation. These bearings wear down over time, however, which produces a loud grinding sound. If the bearings are not replaced in time, the air handler motor will overheat and burn out. Call for repairs as soon as you hear this sound coming from your furnace. It is far cheaper to replace worn out bearings than it is to replace a burned out air handler motor.