A strange odor coming from your furnace could indicate a problem. Your heating unit can smell like the fuel it runs on, especially the first time they are turned on in a year. The majority of furnace odors dissipate as the unit runs. If you notice a strong smell of fuel around the unit, an odor that shows up unexpectedly, or a scent that does not disappear over time, you may have a furnace issue.
You should also take a close look at the pilot light if you have one. A good pilot light is usually blue. A different color pilot light, mainly yellow, can appear to suggest an air circulation issue. When gases such as carbon monoxide do not dissipate as they should, the color changes. If not addressed, this problem can be a danger for you and your family, as well as make your unit more flammable.