If the pilot light on your Heat & Glo fireplace won't stay lit, there could be several potential causes. The pilot orifice might be clogged, preventing the flow of gas. There might be an issue with the thermocouple, which detects the flame and controls the gas supply. If the thermocouple is damaged or not correctly positioned, it may not sense the flame, causing the gas supply to be cut off and the pilot light to go out. In some cases, there might be a problem with the gas supply itself. It's best to have a professional evaluate and fix these issues.