Funny you should mention! I just called to inquire about this a few hours ago... It is generally dirty or needs a new thermocoupler, which runs CDN$30-40. Make sure you are following the instructions for lighting the pilot first... most often it requires that you hold in the knob for a while before it will ignite, and then it will either require you to use a match (for older units) or it will have an ignite button. I am about to diagnose my own! Good luck!

Before you worry about relocating the vent, and, if properly installed normal wind conditions shouldn't bother it, I'd consider replacing the thermocouple that's part of the pilot light system. They're not very expensive and widely available at most hardware stores, and, whilst I haven't done one myself, they're fairly easy to replace. It just may be that yours is on the way out, and without a thermocouple, the pilot won't stay lit. While you're doing the thermocouple, you should clean the burner too. If you do a search using those terms on the site here, you should find instructions on how to do it. Hope this helps.

How does the new furnace get its combustion air? It could be back drafting the water heater and blowing out the pilot.

lazypup, can you site some source for the 40¢/mo cost of a pilot light? Everything I see suggests 5-6 therms/mo and at $1.25/thm that's way more than 40¢. This is consistent with my use. I have two pilot lights (1 furnace and 1 water heater) plus water heating uses 16-18 thrms in the summertime. The latter sounds much more reasonable. This would mean an annual cost of nearly $100 to just burn a pilot light. I understand the theory of keeping things a bit drier and there would be some water heating value for maintenance but for my use that is not significant. There just doesn't seem to be much info out there for pilotless heaters and I don't understand why. Dryers have been long since replaced with electronic ignition for the gas waste. There's no gas lights allowed anymore because of the waste. We really seem to be behind the times here. And if my power goes out (in Minnesota) during the winter, I'm concerned about many other things before being able to take a hot shower! I'll check into the powervent. Thanks to all of you for the input. Much appreciated.