David, you're right! More information does make a difference. You said you changed the T-stat, did you use the same brand and type that was there originally? Like Harold said, some T-stats that are sold to you by the Home Centers won't work with all units and of course, they don't tell you that. Some T-stats have jumpers that must be installed for different applications and won't work on all functions when just taken out of the box and installed. I'm glad you actually do have heat, even though it might be a little inconviente.
Are you talking about one of the T-stats that automatically change from heat to cool? Or are you talking about the fan switch on the bottom of the stat? Boy, I hate to suggest this, since we're men and don't normally do this, but you might read the instructions that came with your stat. I know, but sometimes we have to do it! As a last resort, you might do a search for a Lennox forum. Don't know if they have one or not.
Just another thought. When we say red, white, green, etc., we're referring to what the color codes should be for various functions. Many are not wired with those color wires and some manufactures have different color codes and I believe Lennox is one of those. However, if you check your wiring diagram you should be able to figure it out.