Sweet and syrupy: coolant
Coolant has an unmistakably sweet smell. If you can smell it, it is escaping and landing somewhere hot enough to vaporise it — often a hose, the radiator, or a heater core. If you smell it inside the cabin with a greasy film on the inside of the windscreen, the heater core is leaking.
Sharp and acrid: electrical
Burning plastic or an ozone-like sharpness suggests wiring insulation overheating. This is the one to take most seriously, because the failure mode is fire. Stop, switch off, and do not keep driving to see whether it goes away.
Heavy and oily: oil on the exhaust
An oil leak dripping onto hot exhaust produces a distinctive heavy smell and sometimes light smoke from under the bonnet. Valve cover gaskets are a common culprit. Not usually an emergency, but oil on a hot manifold is a genuine fire risk over time.
Burning rubber
Usually a slipping accessory belt, or a hose that has come to rest against something hot. Occasionally a seized brake caliper dragging, in which case you may also notice one wheel much hotter than the others after a drive.