Check the thermostat to make sure it's set for heat and the temperature setting is high enough to call for heat. Adjust the thermostat if it isn't set properly.
If you have a digital thermostat and it doesn't light up, check the house circuit breaker for your furnace. Reset the house circuit breaker if it's tripped.
If the thermostat is getting power but won't light up, the thermostat may have failed. Replace the thermostat if it doesn't light up even though it's getting power.
Many furnaces have a power cut-off switch located next to the furnace that shuts off power to the furnace during the off-season. Check that switch to make sure it's turned on.
Other problems that can prevent your furnace from working include: failed interlock switches, exhaust ventilation system problems, wiring failures or control problems. Have a service technician diagnose and repair the furnace failure if you can't fix the problem using basic troubleshooting steps.