The burner in your gas furnace is ignited either by electronic ignition as found in most modern furnaces or with a standing pilot flame which common in older style furnaces less than 80% AFUE. The gas furnace standing pilot (flame is lit all the time) is sometimes referred to as a pilot light, but no matter what you call it, its purpose is to serve as a small ignition flame for the gas burner. And when this little flame fails to operate properly or go out, it's one of the most common reasons a gas furnace will fail to operate.
So as they say, good things come in small packages and the furnace pilot is no exception. This standing pilot flame (and it's friend the thermocouple) makes or breaks your furnace's operation, so it's worth spending some time to learn how it works and how to troubleshoot the furnace pilot.
This tutorial will explain how to light the older style gas standing pilot.