My oven pilot light won't stay lit. Range top works just fine. I press the oven temp control knob and light the oven pilot. It stays lit so long as I keep the knob pressed in, though the flame is a little noisy. When I release the knob, the flame goes out. Sears has looked at it and could not solve the issue. They sent me a replacement of the entire mechanical system, which I've installed but its the same thing.

OK try locating and replacing the Thermistor temperature sensor? Either that or the Thermostat for the Oven?
http://www.motherearthnews.com/Do-It-Yourself/1994-08-01/Gas-Stove-Repairs.aspx
http://fixitnow.com/2004/09/appliance-repair-revelation_17.htm
http://www.democraticunderground.com/discuss/duboard.php?az=view_all&address=287x7286

http://www.mrappliance.com/expert/repair-manual/gas-ovens/
Please find above several DIY help sites perhaps these can help you.
I MUST caution you too about working on Gas appliances please be very careful indeed. These are NOT to be trifled with, please if in doubt call in a professional, get a qualified gas appliance repair person to have a look at it, any competent professional should be able to sort this out pretty easily. If worried about costings ask for a "Quote" first only.