First of all my pilot light from heater is not working. I did call PGE to find problem? After PGE man came by and performed, he told me that my 24V thermostate is BAD. I did went out and bought new thermostate to put in. After put in new thermostate, I heard fan run only, no pilot light turn on at all? Please advise, thanks...

The thermostat has nothing to do with the pilot light. I would call PGE and complain. Maybe even make them send somebody that knows what they are doing. You have a gas valve with a knob with Off, pilot, on, and a red button? Turn the knob from on to pilot. Push the red button in and light the pilot light. Keep holding the button in for a minute or 2. If the pilot stays on when you let loose of the button, turn the knob from pilot to on. Your heater should now work.

If the pilot won't stay on when you hold the knob, the thermocouple is bad. The gas valve should have a big tube and 2 small ones running into the heater. One of the small ones supplies gas to the pilot. The other is actually an electrical cable. Replace it. They are a common item at hardware stores and home centers. Wal-Mart might even have them. Get one close to the old length. Don't bend it to sharply. Youcan make a big loop if it is too long.