How old is the water heater? I ask, as MAYBE it didn't blow out. Standing pilot lights rely on a 'theromcouple' part in order to 'sense' the flame is burning. If it detects no flame, it closes the main valve and does not allow the gas to reach the burner as it would not be burned off. That said, those theromcouples are a thin copper tube with a sensor tip that sticks in the flame of the pilot. They DON'T last forever, no one knows for sure, but if yours is 5+ years or so, it MAY be the problem. They are fairly easy to replace, and can be bought at the neighborhood Ace, True Values, Home Deopt, menards, etc... for probably about 7 bucks. No special tools, pliers, wrench etc, are necessary. BUT you DO have to know the lenght of the tubing on the original part - they are NOT adjustible. (If you are planning this yourself - I suggest you go to the store and look at the package for instructions. maybe buy one with the understanding you can exchange it if it's the wrong size. Armed with the how-to, remove yours, measure the copper tube with a string, etc, if you happened to buy the right size - slapit in, if not, go get the correct size. If you are uneasy, let a pro.