The No. 1 cause of pilot lights that won't stay lit is a worn-out thermocouple. It's easy to replace and a new one costs $5 to $10. Rather than trying to unfasten the thermocouple inside the water heater's burning chamber, it's easier to remove the whole burner and thermocouple assembly.
In respect to this, what would cause a pilot light to go out?
A faulty thermocouple can cause problems with your water heater not staying lit. Dirty thermocouple: If you can light your pilot light, but the water heater pilot keeps going out, there are many possible causes. To avoid your water heater going out, bend the thermocouple so it is closer to the pilot light.
Why does the pilot light go out on my gas furnace?
The thermocouple is the copper rod you see the pilot flame hitting. It's a safety device that controls a small valve to shut off gas going to the pilot light if the flame goes out. If it didn't shut the gas valve, all that gas could get into your home. If it was ignited, it'd cause an explosion.