There are two types of thermostats. If you have a normal 24 volt system, then if you change to a digital thermostat, you will have no problems. 24 volts is supplied to the thermostat by the furnace.
The other is a millivolt system, where the electricity is generated by the pilot light (no kidding!). If you wish to change a system of this type to digital, you will need to buy a 24 volt transformer (from your local plumbing and heating store, and wire it up. I found that when I hired the plumber to do it, with parts and labour, it came to 89 CAD, 56 USD. Because of the wiring involved, it is probably better to get a professional to do it, because in your first winter using it, you will save more than the amount it cost you to change over anyway.