As soon as you notice a problem with a gas furnace, such as it not pumping out heat, you should begin troubleshooting. The first thing to do, though it may sound obvious, is to make sure the thermostat is set to the "heat" setting.
One of the most common furnace problems is an issue with the filter, so this is the second thing you should check when troubleshooting. You should change the filters about once a month, and you should not reuse them. Third, it is important to check the batteries in the thermostat, if applicable, and check the power to the furnace by switching it from "auto" to "on." If there is power, the furnace should spring into action.