I have a select state water heater and the pilot light won't stay lit. What's wrong?

How old is the heater ?

It can be several things. First, make sure your vent is clear of obstructions. If you have newer type heater than make sure there is enough "breathing" room around the bottom of the heater where the vents are. Also, make sure the burning chamber door is closed preventing wind from blowing inside the chamber. Then replace thermocoupling.

Back to you. Milo