I smell burning things all of the time. I used to ask other people if they smelled it, but no one ever did. Its gotten so bad that my neighbor's house was on fire a few weeks ago and I nearly convinced myself it was in my head, had I not eventually seen huge plumes of black smoke I would have not even went over there to help them.

Random: I read somewhere that people with brain tumors and brain damage often smell "phantom" smells. I don't think (or hope I don't) have either, but who knows?!