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Give me a few more details like model and exactly what happens.
Have you tried bleeding gas line by cracking gas line slightly until you smell gas. And made sure if there is a cock in line that it is in ON (ININE) position?
Make sure the cock handle is in line with pipe, not cross way. Using match,see if you can light the pilot.
That is in correct position,see if it will light with a match.
OK are you sure you have gas coming to the valve?Do you have other gas appliances that are working?
OK if we have gas to valve but noting out of pilot we either have a stopped up pilot orifice or a defective gas valve
Next step will be to get a manometer and verify sufficient gas pressure into the valve.If you do not have a manometer and don't want to call in a tech I would start by replacing valve
Service call and labor about a hundred bucks and same for valve so about 200
I would look under Heating contractors and call around to find one who works on these units
It is a simple procedure.AS you stated just unscrews. I would blow the tubing to pilot out to clean but should not have to be replaced.
You can look on valve to get number to Google online if you want to replace yourself.
I am showing the 060-522 if you have naturals gas,Actually looks to be a pretty expensive valve at just over 200.