Is it electric or gas-fired? If gas, check to see if the pilot light is burning. Also, check the thermostat. As you turn it up toward hotter, you should feel/hear a click and hear the heat/burner come on.
Oh, could be poor draft/back draft in the flue, missing shield making the burner area susceptible to floor drafts, interruption/variation in gas pressure, or just a random occurence. If it happened just this once it's nothing to be concerned about. Water heaters usually give you lots of notice before they quit entirely.
Yep. This is the first time since we bought the house in November. Both covers were on, so I don't think it was a draft. Hopefully it was just random.
That could be a bad thermocouple. If you notice the same thing happening again, go out and buy a new thermocouple first. They are rather easy to install and are not a very expensive part. They are probably 10 dollars or less. Just take the old one out, straighten it, measure its length, and get the replacement one in the same, or slightly longer, length.