Your heater could be blowing cold air when the thermostat is high because of a dirty filter. The cold air could be caused by a restriction in the system or the burners being cycled on and off at the maximum heat limit.
Is this in your house or car? If it is in your car there are two things to look at. One, the thermostat may be broken. Two, the diverter valve may be broken. The thermostat can be 'roughly' troubleshot by looking at the temperature gauge. If the temperature never gets into the 'normal' zone, I would suspect a bad thermostat. If the temperature does go up into the normal zone, then the Diverter valve is suspect. This is checked by actually feeling the water hoses under the hood, which let you know where the hot water is flowing. BUT you must make sure you KEEP your body parts away from the moving parts under the hood.