I had posted this in response to a posting in the General Woodworking section but felt the it was important enough to make it a posting by itself.
Whirlpool water heaters (sold by Lowes and others) for the past five or so years have a defective thermocouple, or some other defect that causes the thermocouple to fail - I'm not sure of the root cause. The symptom is that the pilot light goes out. You can re-light it but it will go out again, usually the same day. See here and here for some additional info about the problem.
An issue is that the Whirlpool thermocouple screws into the thermostat with left hand threads and a universal thermocouple has right hand threads. Whirlpool has a conversion kit which they will send you free which converts from left hand to right hand - but if you want it overnight(since you can't keep the pilot light lit) you have to pay the shipping (I think it's about $18).
What I did was cut my old Whirlpool thermocouple about 6" from the threaded part. You'll find an insulated central wire covered by a copper sheath. Solder the central wire onto the center of the universal thermocouple and use stranded wire to connect the outer sheaths together. Then screw back into the thermostat. Call Whirlpool (www.whirlpoolwaterheaters.com) - 877-817-6750 - and order the parts sent via regular shipment (which is free). When you get the kit, replace the klug I described above.
If you have a fairly new Whirlpool water heater from Lowes (say within the past five years) described as a "Flame Lock", you might want to call and get the conversion kit so if your thermocouple fails you can repair it quickly with a universal that you can buy at the Borg for about $7.
[I added some pictures of my "fix" (described above) to allow me to use a universal thermocouple while I wait for the Whirlpool shipment. Works fine and is safe. The old part of the original thermocouple is just used for the left hand threads. The voltage and current is extremely small (about 20 mV) so if someone touched the exposed wire, it would in no way harm them.]