Why does my pilot light keep going out?
If the pilot light keeps going out, the culprit is probably one of two things, with a third being unlikely but possible:


Pilot light line flow set too low, or pilot line dirty or obstructed - The pilot light is just a low-flow branch of the gas line that is always on, maintaining the ignition source for when the burner is turned on. The actual flow of gas to the pilot light can usually be adjusted, to compensate for normal variances in system pressure. In your case, this is probably set too low, which means if the overall system pressure drops (perhaps due to added demand from your furnace or gas stove), the pilot light gets starved. Failing that, the valve or pilot light nozzle may be dirty or clogged, obstructing flow more than you want. This is the most likely cause if you only notice this issue with one appliance, while others with pilot lights are working fine.
Gas Regulator Faulty, Failing or Improperly Adjusted - The meter outside your home has a regulator (the disc part with the cylinder protruding from one side) to "step down" the pressure in the gas main to a proper pressure for your home's appliances. The regulator, like most, basically works by opening and closing very quickly, letting higher-pressure gas into the system until the pressure "downstream" reaches the desired level, before closing off to prevent overpressure. The moving parts in a gas reg see a LOT of use over the reg's rated life, and the one on your meter may be on its last legs. This is normally something that would affect all gas appliances in your home; in addition to the WH pilot going out, you may notice other pilots snuffing, like on your furnace, or you may notice variations in flame height of your stove burners while cooking. In any case, you can call your utility company and ask for a replacement gas regulator; this is a safety feature and part of their service system beyond the gas meter, so maintenance of it is their job.
High NG demand causing system fluctuations - This is winter, mild though it may be in your area. Furnaces are running, HWHs working overtime, and more people will be using their stoves and ovens during this season than in summertime. As a result, NG usage is at its annual peak. Your area's "gas grid" may be nearing its capacity, which may be causing low pressure on the service side intermittently failing to replenish the downstream pressure of your home's gas system. Ask your neighbors if they've had issues with intermittent low gas pressure; it may not be just you. If it's affecting the entire area, there's not a whole lot you can do unless you've experienced actual monetary damage that you can prove was caused by the service failure. So, check everything else first, especially everything within your home's system (which the gas company isn't liable for).