I've been using grub for a while so I con't remember the details of lilo but don't delete your lilo !! you prolly won't be able to boot afterwards!
A few things might be wrong here. Have you added/removed or re-arranged your Hard Disks? this will confuse lilo because it won't find a moved disk so you'll have to manually edit the lilo config file to reflect that (/etc/lilo?).
Another thing to try is altering your BIOS setting to boot from the HDD with the new lilo bootloader on.
A combination of the above 2 might be the problem.
Hope this is a pointer as to what may be going wrong. Sorry I can't be more help as it's really a while since I used lilo - and never fully understood it myself