| Go to the furnace and locate the wires to the thermostat. When the thermostat is calling for heat and the furnace isn't on, check to see if there is 24 volts between both the red wire and the wire and the blue one. If the red doesn't have 24 volts, you have a problem with the transformer in the furnace. If the red is hot, but not the white, the problem is in the thermostat or the wiring. If the white is hot, but the furnace is not on, there is a problem with the furnace. When it calls for heat, the thermostat switches the power from the red wire to the white one. If your furnace doesn't use those colors, let me know, and maybe I can figure it out. Note, often getting at the wires means removing a cover which opens a switch cutting all power. If so, you have to hold the switch in while checking.
If you don't have a volt meter, you can pick up one good enough for simple tests like this for $5-10. You could also short the R and W terminals together and see if the gas comes on. | 
Linear Mode
