Confirm your thermostat is on and set to "Heat." Make sure the set point is above the current room temperature.
Open or unblock vents if necessary. If your furnace is continuously cycling on and off, this may have been the cause.
Change disposable filters or clean reusable filters. Old, clogged filters don't let enough air through, which can cause your furnace to overheat. Change filters every three months or more frequently if necessary.
Check the breakers, fuses and the furnace's "On" switch if the fan is not running. If you have a tripped breaker or a blown fuse, it may indicate a problem with your furnace's wiring. If you feel confident enough to do so, check the wiring for damage or loose connections, then replace the fuse or reset the breaker and try turning your furnace on.
Confirm the pilot light is on and that the flame touches the thermocouple. Relight the pilot if necessary. If the pilot is on but the main burner does not light, there may be a problem with the gas valve, control board, limit control, inducer motor or thermostat.