If the pilot light won't stay lit, the thermocouple may be loose or faulty, the pilot orifice may be clogged, or the pilot light's flame may be set too low and needs to be adjusted.

You can clear a clogged orifice with a piece of thin wire, such as a bread tie with the paper stripped off it. Be sure to turn off the gas to the furnace first. Also shut off the switch or circuit breaker that controls power to the furnace. Just poke the thin wire into the tiny orifice where the pilot flame normally burns to knock off any ash or debris.

Some pilot lights have a flame adjustment screw for adjusting the flame. To adjust this, refer to your owner's manual. Normally, this is simply a matter of turning the flame adjustment screw to achieve a full, steady 1 1/2-inch to 2-inch flame that doesn't have any yellow in it.