We are trying to light the pilot light on the gas furnace. The switch won't move out of the "Pilot" position. If the pilot lights and stays lit - is there a danger in leaving it on "Pilot"?

If it was working OK, I would say yes. Are you sure it is coming up all the way? I had that problem some times with my old water heater. When I let go, it didn't spring all the way, and I couldn't turn it to on.

If is was stuck part way down and the pilot light went out, it could leave the gas still flowing. Kaboom. If it won't come all the way up and turn on, the safest thing is to turn it off. Use the valve in the gas line if you have to.

Lift the knob then turn it, Just like labman said. Sometimes they stick.