Pilot Light (Fallout 3)

The pilot light is one of the several scrap items that can be used in the construction of weapons and ammunition using schematics.

Fallout 3
You can easily find these by searching ovens (found in many abandoned houses, for instance in Minefield), or they may also be found in some workshops. A pilot light can be obtained early in the game by searching through Silver's stove inside her house in Springvale or in the RobCo Facility.

Fallout: New Vegas
Similar to Fallout 3 pilot lights can be found in ovens. You can find many more in the basement of the REPCONN Test Site, especially in the storage room in the south-west. There are also several of them lying on the floor across the whole basement.
 * One can be found in Nelson house and at Novac (Jeannie May Crawford'house)(oven).