What is it whenever the auxiliary heat kicks on it smells funny?

I'm not 100% sure, but My auxiliary heat is electric strip heaters that work usually only when the outside temp is too low for my heat pump to operate efficiently. It doesn't come on very often (thank goodness, because it is way expensive to operate) and since the strip heaters sit unused for long periods of time they accumulate a thin layer of dust and dirt which gets burned off each time they're used. I have strip heaters in my bathrooms, which I rarely ever use and I can actually see household dust on them and see it get burned off whenever we do use them and they put out an odd smell at first until all the dust gets burned off, so I think that's what you're smelling, burnt dust and dirt!