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First the thermostat, Although they do fail, Most of the time it is not the thermostat. Many people think it's the thermostat and replace it. I look at the Thermostat last.
The First thing I do Is see what the temperature of the boiler is. If it is hot between 160 and 190 % f I know the boiler is working. If it is cold, I check to see if it is set up as a hot boiler (one that is always hot) Or a cold boiler (only gets hot if there is a call for heat) if it is set up as a hot boiler but is cold. I check pilot light. 

Peerless relief valve