I have a Coleman furnace in my mobile home and the pilot light went out. I can light the pilot light but as soon as I release the pilot button and try to turn the furnace on, the pilot light goes out. What are some good troubleshooting steps to resolve this problem?

Possible problems:

1. The thermocouple is not properly located in the pilot flame
   You want the tip to be about 1/2 to 3/4 inches in the flame.
2. The thermocouple is defective
   Easy to replace. Go to hardware store for a new one.
3. A restriction in the pilot orifice.
   This can be caused by spider webs or dirt. Gently clean it out.

Here is another thread that talks about this problem.

Hope this helps!
WallyH