Locate the main breaker panel in your home. Flip the breaker that the furnace circuit connects with to the "Off" position. Flip the breaker back on. If the circuit was tripped, this will reset the furnace. If power isn't the issue, proceed to the next step.
Turn on your furnace from your thermostat control panel and set the temperature to something higher than room temperature. If the furnace doesn't come on, but there is power to the main unit, the internal thermometer could be broken and will need to be replaced.
Go to the furnace itself and turn the unit off. This can be done via the "Power" switch located on the control panel connected to the furnace.
Slide the bottom panel on the front of the furnace outward to expose the air filter compartment.
Slide the thin, square shaped air filter out of the compartment and inspect it. If dirt and gunk is caked on, then it is time to replace the air filter. Most issues with your Lennox heater are due to an old and bad air filter.
Lift the front panel off of the furnace and locate the pilot light assembly. Over the light will be a metal bar. This is the flame sensor rod.
Clean the flame sensor rod with a piece of steel wool. A clean rod senses the pilot light and allows for the furnace to start. A dirty rod won't sense the pilot light, and the furnace will shut down every time you try to start it.