Are you in the odd predicament of having a furnace that has a pilot light that is clearly lit, but your heat will not activate when you initiate the thermostat? If so, you are likely concerned about whether or not a safety hazard is preventing you from operating your firnace or if another potion of the heating system is malfunctioned. Perhaps you furnace is showing signs that it is trying to come on, but it simply makes the sound and does not fully turn on. The following are examples of some things that could be causing your furnace not to come on.

Pilot Light and Thermocouple Issues

If you lit the pilot light yourself, it is possible that you did not perform the necessary step to ensure that the thermocouple and pilot light are "communicating" correctly. For example, some furnaces have a safety feature that involves depressing the pilot button for a set amount of time after lighting the pilot. Keeping the button pressed makes the pilot light warm the thermocouple, and this makes the components of the furnace "know" that it is safe to light the burner and make heat.

If you have done the steps correctly, it is possible that the thermocouple has malfunctioned and needs to be replaced. Broken thermocouples cannot sense that the pilot light is lit, and therefore, heat cannot be initiated until the thermocouple is replaced. 

Gas Pressure Issue

If the thermocouple of your furnace is not receiving adequate gas pressure, then it will not initiate heat. The amount of gas needed to cause the furnace to turn on will vary due to size and other factors. This is a situation that will require professional analysis, but it may not involve a labor intensive repair. For example, a contractor might be able to fix a low gas pressure issue by adjusting the gas valve. If the issue occurs more than once or if it appears the pressure issue is valve replaced, the contractor might recommend replacing the current gas valve. 

Faulty Ignition Board

This is a portion of the furnace that could be considered the brain of the unit. It "tells" the furnace what other parts of the furnace are "doing." When there are ignition board issues, the furnace will not know when it is safe to ignite. Replacing the malfunctioned board can get the unit back working properly. 

An HVAC contractor is the best resource to use to determine the exact reason your furnace is not turning on. They can repair malfunctioned portions of your heating system and troubleshoot them in the safest manner.