Most cases, it is a bad or mis-adjusted thermocouple or partially plugged pilot.
Test the thermocouple by blowing out the pilot (leaving the gas valve on, and turning down the thermostat).
If you hear the gas valve click off in 25 seconds or less, the thermocouple is bad. 25-60 seconds is okay.
Does the pilot look and sound strong? If the thermocouple is good, and it is adjusted so that the pilot hits it full force, you can clean out the pilot orifice with a special wire called a pilot broach.
If neither of those solves your problem, I would look closer at the ducting.