1. It smells like smoke. Smoke is never good. It means something is burning. If you have an oil furnace, it could mean a serious problem. Likewise if you have an electric furnace. A blocked chimney can also cause a smoky smell. Bottom line: If you smell smoke when you turn the heat on, call a professional right away for an evaluation.
Remember to trust your nose and your instincts. It's always better to call a professional and find out what's going on than to risk the safety of those inside your home.