I have a 16 year old furnace. The pilot light keeps going out. Over the past years, I have replaced the thermocouple 4 times. This seems to help a bit but does not alleviate the problem all together. The first 12 years or so, the pilot light went out only a handful of times. During the past 2 years, it has been going out on a more regular basis. It lights back up easily but this is very inconvenient... especially at 3a.m. when the house is cold and the furnace is blowing cold air. What could be causing it to go out so often?

You may need a new gas control valve

Is this something I can do myself or do I need the gas company to come out?

The gas valve should be installed by a qualified heating contractor and not by the homeowner.

Light the piolit and turn the fan on only. See if it blows out. You may have a cracked heat exchanger.