gas furnace pilot light is lit,,won't produce heat, making a clicking sound,,,
Without knowing the exact make/model of furnace, it's impossible to give a specific answer.
Flame Sensor
It sounds like the furnace may not be detecting the pilot. The furnace uses some type of flame sensor to determine when the pilot is lit. Often times these devices can become covered in soot, and have a difficult time detecting the flame.
Furnaces often have an electronic device that is used to light the pilot, rather than having a pilot constantly burning.  One type uses electricity to make the tip of the device heat up enough to ignite the gas, while another uses a spark to ignite the gas. If you have the spark type, that could be the clicking you're hearing. It would be a steady click--click--click. If the furnace is not detecting the pilot, it will continue to send the signal to the ignitor to light the pilot. This may be why you are hearing the constant clicking.
The first step to solving this issue, would be to locate the flame sensor in your furnace.  It will be a device with wires leading to it, and it will be in very close proximity to the pilot flame (as in, the tip of it should be in the flame).
Once you've located the sensor, you can clean the tip using fine steel wool (#00, #000). Gently rub the sensor with the steel wool, removing any black soot from the sensor.
WARNING: Make sure the power to the furnace is off; using either the breaker or servicemans switch, before performing any maintenance on the furnace.