It is also sometimes accompanied by smoke. Once again, this can be caused by parts or wiring burning-up. It can also be debri such as plastic getting into the ductwork and melting on the electric resistance heaters or heat exchanger. If you smell a burning odor, check your air filter. If it is not blocked, shut off equipment at the breaker if possible and call for service.
People think of gas explosions or carbon-monoxide poisoning.
Well, gas explosions are very rare and carbon-monoxide for the most part is odorless. Having said that though, don't take a gas odor lightly. If possible, try to pinpoint where the smell is coming from. Use your nose. If it is gas, it usually would be from a leak in a pipe fitting or at the equipment itself.