Well the season started and here i go again with the water heater. When the propane runs low I get the smell of propane. When it is full there is no smell and works fine. Here is my major concern. WHen I first light the heater for the season or if the propane runs out, I light the pilot hold for a minute the and turn the gas on step back and in about 8 seconds a bang goes off and the a one second flame blows out and the pilot goes off. I do this about 4 or 5 times and it finally seems to work fine.

Needless to say it scares the crap out of me. WHat do I need to do to correct this? Is this just air blowing out of the system? 

You are just purging air from the system.Not a problem.Sounds like you have old pilot style( non spark ignite) with a thermo couple. That might need cleaning and adjustment.

By all means get it checked out. You don't want to take a chance with propane.

Jim