The pilot light on a gas furnace can go out because of drafts. To relight the pilot, follow the manufacturer's instructions exactly; they're usually fastened to the furnace. If instructions for relighting the pilot are not provided, follow this general procedure:
Step 1: Find pilot light assembly. It typically has a gas valve with ON, OFF and PILOT settings.
Step 2: Turn the valve to the OFF position and wait three minutes.
Step 3: Switch valve to PILOT setting. Hold a lighted match to the pilot opening while you push the reset button on the pilot control panel. Keep this button depressed until the pilot flame burns brightly, then set the valve to the ON position.
Step 4: If the pilot flame won't stay lit, the opening may be clogged. Turn the gas valve OFF and clean the opening with piece of fine wire. If it won't stay lit after several attempts, you may have a faulty thermocouple. If the pilot flame still won't stay lit, call a professional service person.
Some furnaces have an electrical system to ignite the gas; in these systems there is no pilot light. Instead, an electric element heats up and ignites the burners. If this electric ignition system malfunctions, call a professional service person.
Now, let's check the thermocouple and limit switch.