Hi, Dianavan - Honeywell is one of the standards, and they're usually thought to be pretty good - there aren't all that many brands available. What model number is it?
How many wires do you have to hook to the thermostat? Have you tried reversing them?
How does the thermostat get power? - from the wires, or does it need a supplemental battery?
Is there a timer on the thermostat?
The basic test is to disconnect the thermostat from the furnace and connect a low-voltage light or meter to it. Then, rotate the dial and see when it goes off and on - test is just a bit different with digital thermostats, but works on the sam principle.
Give us the model number of the thermostat, and I (or somebody) should be able to come up with advice for you.
-Joe Maintenance-