The standing pilot light was the conventional way that natural gas furnaces lit their burners whenever the heating system turned on. They’ve become so identified with home furnaces that people take for granted that pilot lights are still around doing the same job as usual.
This isn’t the actual situation, however. Although you can still find gas furnaces with standing pilot lights, they have mostly gone of out use since 2010. If you have a furnace installed after that year, it almost certainly doesn’t use a pilot light to light the burners but an electronic ignition system.