Inspect the pilot flame when you turn the thermostat on. If the flame does not visually increase, or extend, when the thermostat is turned on, the thermostat may be defective and need to be replaced.
Check the millivolts on the thermopile with a voltmeter. Your owner's manual should contain the proper readings. If it needs adjustment, you can adjust it with the pilot adjustment screw. The thermopile is typically located next to the pilot hood (see Resources).
Check the electrical connection to the thermostat by using a small wire to "jump" it. Connect the wires from the terminals on the "TH" and "TP," or thermocouple and thermopile, valves. If the stove turns on when the connection is jumped, then your problem likely lies farther down the electrical circuit and is not your thermostat.