When your HVAC system is working properly, you should not notice any odors or smells at all. If you do notice an odd odor or smell when you turn the heat on, or at any time when the heat is running, it's important to get to the bottom of what's causing it. Some odors have a simple, relatively harmless explanation while others can be dangerous. Here's a look.
If you smell something that reminds you of rotten eggs when your furnace is running, get out of the house immediately. Then, either call 911 or your gas company. Natural gas, though it is naturally odorless, is augmented with sulfur to give it this rotten egg smell. This is meant to alert you to a gas leak, which could lead to a fire, gas explosion, or illness. Do not return to your home until the fire department or gas company ensures you that it's safe to return. Depending on the cause of the gas leak, you may need to have your HVAC company come replace or repair your furnace before you can safely turn the heat back on.
Scorched Dust or Dirt
If you just turned on the furnace for the first time this year, a scorched dirt smell probably just means the burner was dirty. The smell should dissipate in an hour or two, but make sure you change the air filter soon. This smell indicates that dust has been making it through the filter and settling inside the furnace. A new filter will do a better job of trapping the dust so you don't experience this scent again.
A metallic scent that reminds you of blood or a running engine is not a good sign. This usually indicates that there is a problem with the electrical wiring either inside or leading to the furnace. Turn the furnace off and call your HVAC company. As long as you don't see any smoke or flames, it should be safe to remain in your home as long as you don't turn the furnace back on. Depending on the actual location of the wiring problem, your HVAC contractor may need to work with an electrician to make the required repairs. Sometimes, the issue might be that one of the metal components inside the furnace is starting to fail -- but you're better off assuming it's an electrical issue until you know better.
If you notice any other strange smells coming from your furnace, the best approach is usually to turn it off and call your HVAC technician. For more information, visit websites like http://www.coeheatcool.com.