Small flame that ignites the main burner when the thermostat calls for heat. Will not stay lit after releasing the knob? Thermocouple. Thin metal rod in the pilot flame generates millivolts that signal the gas valve to stay open. Worn, corroded, or mispositioned? Not enough voltage, gas valve closes. Critical safety feature -- never bypass it. Clean or replace the thermocouple. Cheap part, any hardware store.