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What does it do?
A thermocouple send a low voltage signal to the gas valve, letting the gas valve know there is a flame and it can stay on.
Why do they go out? Nothing lasts forever. after a while a thermocouple is no longer able to send enough voltage to the gas valve to keep the pilot button set. and it needs to be replaced. Some times you can just relight the pilot and it will hold for a few days then go out again. Most of the time this is a week thermocouple.
How to replace thermocouple scroll down for instructions 

First thing that I need to make clear is the difference between a "Gas Valve" and a "Gas Cock" Many people call the gas cock a gas valve, but for the purposes of this page I will refer to it as the gas cock to avoid confusion. all images on this page are thumb nails click on the image to see a larger version of it.

The Gas valve is the main control of the gas going to your appliance. There are many different kinds of gas valves. The one in this picture is from a Weil McLain boiler, it is a 24 volt standing pilot gas valve. Not all gas valves are 24 volt standing pilot. and not all Weil McLain boilers have this type of gas valve. Some are mili volt and use a thermopile instead of a thermocouple and are not interchangeable. Others are 120 volts. and are also not interchangeable. 

Replace Thermocouple Step 3