As someone with an oil furnace -- when running properly, the smell of an oil furnace shouldn't be significantly noticable. (although some people are more sensitive than others).
Possible smells from an oil furnace:
- If you have a leak in a fuel tank, or some other spill, it will smell like diesel fuel.
- If your chimney doesn't draft correctly, you could get smoke inside the house, which leaves a greasy smoke everywhere. (like the exhaust from a badly maintained diesel vehicle)
- If you don't get your furnace cleaned and inspected, you can get a condition where it burns hot. (there was a jet of flame shooting out of the inspection port), which can also get smoke inside the house.
- If you had water radiators with a circulation pump, if not maintained or it breaks a seal, the wear can cause an oil burning smell
Luckily, I haven't had the first one -- that took months for my neighbor's basement to vent because their oil company overflowed their tank. I think there was still a lingering smell for a year, as it had soaked into the concrete. (the soot thing sucked, too, but once I scrubbed down the walls, it wasn't so bad).