The same thing happened for us but then I realised that the pilot flame was small and weak and not really reaching the thermocouple. The thin pipe supplying gas for the pilot was clogged with soot. I removed the pipe and cleaned the inside of it using a length of wire and ran water through until it ran clear.
After refitting the pipe and lighting the pilot the flame was much stronger and easily reached the tip of the thermocouple
Micky, January 2009
