Your thermocouple is bad
If the pilot actually lights, but wont stay lit after you release the pilot button then your thermocouple is bad. Head down to A*C*E, M*E*N*A*R*D*S, H0me Dep0t and pick up a new one, it will run you about 10 bucks.
If the pilot just plain doesn't light, you have an issue with your line and may need to have it blown.