Thermostats tell your system how and when to change the temperature. They come in different makes and models, but the initial troubleshooting steps are the same for all thermostats. You need a soft brush, compressed air and a screwdriver.
Check the circuit breaker
Make sure you have not tripped a switch or blown a fuse, and reset if needed. Confirm the power is on at the furnace. Call a certified technician if you are unsure what to do, or if things appear to be unsafe.
Start at the source
Replace the battery in your digital thermostat if there is no display. For an analog low-voltage model, make sure the unit is level and flush to the wall. If this doesn't fix the problem, gently pry off the cover, and clean the inside using a soft brush or compressed air. Visually inspect the components; replace loose wires and tighten terminal point connections. Never touch wires if you are unsure of voltage.
Clean the bimetallic coil in analog models without a mercury ampoule
Turn the thermostat to the lowest setting; clean the bimetallic coil with compressed air or a soft brush, repeat for the highest setting. Return the thermostat to your desired temperature.