What it is, is a copper/nickle safety device that produces a small amount of electrical current to hold open the gas so the pilot will stay lit and the heater will come on. When you move the knob to PILOT and push down, you are pushing down on a spring loaded valve with an electro magnet in it. The pilot flame produces energy to hold that magnet in. The tip of the thermocouple has 2 metals bonded together (copper and nickle), when heated the tip produces electricity just like a battery. If the pilot blows out, the heat will disipate on the thermocouple, the electrical current will fade, the magnet will not hold and the spring will shut the flow of gas off. It is that simple. It has a 3/8th nut on the end that screws into the gas valve, It is not a gas carrying part, so no gas will come out when the thermocouple is removed. The old thermocouple will slide out of the pilot assembly and the new one will slide in. Make sure the flame hits the tip and not the middle.
The nickle/copper element in the tip produces electrical current which holds the gas open as long as the pilot is lit. Make sure the hole that the thermocouple screws into is not cross threaded and is clean from any corrosion. I use a pencil eraser to clean that hole. Their will be a safety limit mounted between the thermocouple and magnet in some models. Make sure that safety is reset and has continuity. Some models use a fuse. It is a white ceramic 2 wire contraption that mounts next to the valve.
gas safety fuse
If it melts it kills the connection, and since it is a melting type it cannot be reset. It will melt and kill the gas operation if the burners are rusty or the smoke stack is blocked. It the burners let the gas pool up then the gas will sometimes go POOF! and blow the doors off the furnace.Or if the vent is stopped up the heat will rise and cause the fuse to melt. So make sure you have a clean, free breathing furnace.
NOTE: Thermocouples are used in all types of equipment including water heaters,deep fryers,pizza ovens,and anything else that is gas operated.This many folk have visited as of Oct 29 2009, Thanks ApplianceJunk.com