Why does your pilot keep going out?

There are a couple of things to check. 1.What color is the pilot flamte? If it is yellow then it is dirty and needs to be cleaned. 2. Check the thermocouple. That is the gold color rod that the pilot flame burns on. It is a safety device that tells he heating system if the pilot is burning. It is inexpensive and should be changed if you are going to pull the pilot assembly and clean it any way.