Sometimes I detect a burning smell coming from the heat vents. Is this normal? What could be causing it?

This could be the dirt on the heating coils. At the beginning of each heating season I sometimes have dirt accumulated on the heating coils and until it burns off I will smell this burning smell. If this smell continues long after the initial burn off, I would check to see what sort of filter is on the intake of your furnace. It may not be a good filter but one of those fiberglass filters that are not doing their job. Try upgrading your filter and see if that solves the burned smell problem. If the problem continues, have your furnace checked out.

In addition to Twinkie's suspiciously accurate suggestions(:p), it could be a failing blower motor. Next time you smell burning, carefully feel the motor to see if it is overheating. Turn power off first.

Since we are so far into the heatinf season this is not likely a seasonal buildup of dirt or dust. When you smell this burning smell have you run down to check your furnace ? KC has great line of thinking since the blower motor is exposed to the air in the plunum. How old is your furnace and have you ever had it checked for cracks in the exchanger?