Pilot Light keeps going out when thermostat is kicking on furnace
A good serviceman should be able to figure out what the problem is and how to correct it. Things to check; does the inlet gas pressure fall when the gas valve clicks, does the pilot go out instantly, is it blowing out or is the gas pressure to the pilot changing, did you keep the old gas valve for reference or throw it away? If you can, post a few pictures of the furnace and gas line connections at the furnace and state the furnace make and model and where you live.