Check fuses or circuit breakers in the panel box. In the case of a blown or tripped fuse, simply reset or replace the fuse. Check the switch on the side of the furnace, it should be in the 'on' position.
Some furnaces have a safety switch located in the blower or filter area.
If you've recently changed the filter, make sure the outside cover panel is on correctly and making contact with this switch or the unit will not start. Make certain your thermostat is located away from windows and doors. If the thermostat is in a cold draft, your heating system will run even when the rest of the house is sufficiently warm. Consider lowering your thermostat setting to save on energy costs. You can save up to five percent on energy costs by lowering the thermostat from 73 degrees to 68 degrees for an eight-hour period.