What is it if you smell a burning smell coming from the exhaust?

You may be burning oil.

EDIT: This is a very vague question. Did you recently get exhaust work done? if not, you should first check to see if there are any lights on the dashboard that have recently come on. If not, check your spark plugs for wear. Any unburned fuel exiting the engine will pool in your catalytic converter and cause a chemical reaction to the platinum catalyst, which in turn will cause it to become VERY HOT. (when I say very hot, i mean White HOT.)

so, to follow up. Exhaust work will leave a burning smell from gasket sealer as it heats up for a couple of weeks following. If there are lights on the dashboard, it means that one of the O2 sensors has malfunctioned and you are not getting a correct mixture of oxygen and fuel in the engine for combustion. If there are no lights on and your spark plugs are worn and burned, it means that escaping unburned fuel on the exhaust stroke of the engine is causing the catalytic converter to become overheated. Other than that. I will need more information. Hope this helps.