If your pilot light is out, you should follow the following steps to reignite the pilot — you’ll need a long-stem lighter:

1. First things first, you should shut off your furnace. You should be able to locate a switch with three settings: On, Off, and Pilot. Turn the switch to the Off position for the time being.
2. Let any residual gas dissipate. If you smell natural gas (which smells like rotten eggs), then it is dangerous to light the pilot. Open nearby windows, and wait for several minutes until you’re certain that there is no gas in the air. If you still smell gas after some time, you should turn off the gas to your furnace and contact a professional — do not attempt to ignite your pilot light.
3. Once the gas has dissipated, you can turn the control knob to Pilot. Also, you should be able to locate a button that says Reset. This primes the pilot and thermocouple so that your light will stay on after it is lit. Hold the Reset button down and light the pilot with your lighter. Release the Reset button after you have a flame coming from the pilot. If it remains on, you’re set!
4. Finally, turn the control knob to the On position. Monitor your furnace to make sure it works the first time it comes on. If your pilot light goes out again, you may need to maintain or repair the pilot.

Once again, be wary of gas buildup. If your pilot light doesn’t ignite after your first try, be sure to let any gas dissipate before trying again, or call a professional.