We have a faint smell of gas in our house, but it doesn't seem to be coming from the furnace. We have an oil based furnace; should we be concerned or is this a natural smell?

Natural gas is odorless, but gas companies add a smell to it so it can be detected. So if there isn't a source in your building (single family house?), it's not natural gas. Could you have an old gas line that isn't used, capped off in the basement? No gas water heater or cooktop?

How about newly installed carpeting, which emits formaldehyde?