If your heating system has a pilot light, check there to start. If the pilot light has burned out, see below for directions on how to relight it.
If you have a newer heating system, it is possible that it contains a circuit board that will show an error code. Write down this code and report it to a heating repair technician. After you have written the code, you may be able to reset the system by turning the system off for 60 seconds. If this works, it may provide temporary heat until we can properly diagnose the system.