Thanks Sparky, always wanted to say that , but the problem is a dirty pilot orifice. If you are mechanically inclined you can take the pilot assembly apart and clean it. If your not sure you want to be playing with fire, literally, call an HVAC co. out and have it cleaned for a small fee.
I would choose the latter. If you don't put it back together right, you could cause a gas leak. Have a clean and check done by a pro.
While the pro is there, have him change the thermocouple. It will save you the headache of having to call him back out next week for no pilot.
Ok I can do that. I gave the thermocouple a real good cleaning yesterday but as soon as the temp. dropped outside it failed again, just the once. I turned off the system, turned back on & all night was ok. I was thinking of replacing the Thermocouple/igniter unit anyway (comes as one unit so they can charge more ) as it is presumably 10 years old & I hear they should last 3-5 years. Plus the pro would replace it anyway.