I have a coleman propane furnace the pilot is on for a long time, then seems for no reason except more frequent on windy days it goes out. It is a BEAR to relight. Pilot is inside the unit FAR and tough to reach even the propane guy has a tough time of it. Why does it go out in the first place?

The clue is "windy day ". You are probably getting a backdraft down the vent. They make special vent caps that will divert the air. HD and Lowe's carry them.