Light the pilot light with the oven set to off. Then, watching the pilot with the door open, see if there is a second, larger, pilot light that comes on. If that comes on and the oven does not light in a minute or so there is probably something wrong with the thermocouple or the gas valve itself.
This is the sequence: Little pilot light > larger pilot light which heats thermocouple > thermocouple power turns on gas valve for the main burner, which then lights. Thermostat controls the temp by turning on and off the main burner as long as the thermocouple says "the big pilot light is operating". It seems like a long way around just to make the oven light, but each step is safety related.
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