I am from Egg Harbor Twp. NJ The pilot keeps going out on my gas water heater. They say it could be the thermocouple. I cannot find that kind of thermocouple. I looked in the book and it says to change the pilot assembly. Can't find that either. Anyone out there know where I can find one around here on a Saturday

Home Depot and Lowe's sell thermocouples for water heaters

Found one at Ace Hardware