Why won't my pilot light stay lit and how can I troubleshoot this issue?

Your pilot light may not stay lit due to issues with the thermocouple, gas supply, or ventilation. To troubleshoot, ensure the gas supply is on, check for any blockages in the pilot light orifice, clean the thermocouple, and ensure proper ventilation around the pilot light. If the issue persists, it may be best to contact a professional for further assistance.