Here's my personal experience. 

So, I came home Tuesday night, and it was freezing in my house. Not normal, since my wife usually cranks the heat, and I always lower it when I come home.

I looked at the thermostat, and it was 60 degrees. I took the walk to the basement and found the pilot light on the furnace had gone out.

I've never lit the pilot light, so I wasn't quite sure, and I didn't want to blow up the house. Thank God for the internet! Here are the videos I used to make sure I was doing it right.