I need help with my hot water heater - the pilot won't stay lit!

My (less than 2 year old) hot water heater quit working last night and we figured out that the pilot light went out. We got it lit this morning and it was still running when we left for work. I came home tonight and the house is freezing (our heat system runs off hot water). I can get the pilot lit with the electronic trigger, but when I ease up on the button and try to turn it from “pilot” to “on”, it goes out again. I’ve been in the garage struggling with this for 20 minutes now. Any ideas?