My original gas furnace (70s' technology) and my new medium efficiency furnace share a common problem. The same problem existed with a conventional mercury thermostat and a modern programmable thermostat.
When bringing up the temperature the furnace will shut down and then immediately begin a new start up sequence. This happens about every five minutes until the set temperature is achieved.
The furnace cycles like this even though outside temperatures may be within 10 degrees C of programmed settings.

The anticipation setting in the thermostat is wrong. Set it to longer.


See page 3 figure 8 for a example of a anticipator.

http://customer.honeywell.com/techlit/pdf/60-0000s/60-0830.pdf