If this is natural gas, often the air mixture is incorrect causing a yellowish flame. if this is the case, the local gas company will usually adjust this free of charge. Below was copied to save me some time:
If the pilot lights but the flame is a weak yellow flame, it will not get hot enough to heat the thermocouple to its set point allowing the gas valve to open.
A natural gas flame should be a bright blue with the tip of the flame having just a tinge of yellow. A propane flame should have a bluish green flame with a tinge of yellow at the tip. The flame should be strong enough to hit the thermocouple tip about 1/2 inch from the tip end. If the flame is weak or shaky looking, check to see that a breeze or draft is not blowing on it.
Adjusting the Flame:
There is usually a small screw on the pilot valve body that will adjust the flame. You may have to refer to the manufacturer's instructions to find the screw. Turn the screw as needed to adjust the flame throw.
Yellow Flame
A yellow flame is caused by lack of air and incomplete combustion. It can be caused by a dirty pilot tube tip.
Split Flame
This is caused by dirt in the pilot tube. Take a needle or small nail and gently clean the tube.
Flickering or Wavering Flame
A flame that flickers is usually caused by a draft.