One of the most common problems that we run into on a service call is when homeowners change out there old thermostats for a  new one, and they did not shut the power off to the furnace. If you plan on replacing your own thermostat be absolutely sure to turn OFF the power to the furnace. If the power is still connected and theses wires touch it will cause the fuse to blow. Make sure if you are going to change your thermostat you turn of the breaker or unplug your furnace to avoid this problem.