The furnace is suppose to have the burner that is burning the gas isolated from the living area. There should be a flue pipe out through the roof or in some cases a wall to the outside. The gas, prior to being burnt is piped in to the mostly sealed area where your control unit and the burner is. You are either getting gas from a leak prior to the burner (which is a fire or explosion hazard) or unburned gas from the heating chamber is escaping into your living area (which can cause carbon monoxide inhalation which displaces oxygen in your blood and can cause head aches up to death). This is a serious problem and you need to correct it or quit using the furnace.
I have seen leaks in the pilot supply cause a pretty bad smell. If you use a water and dish soap solution, something at about 8 to 1 to 4 to 1, water to soap, and use a paper towel or paint brush to apply it to all the piping on and to the furnace. Look for a leak to be blowing bubbles. It is low pressure so it won't be like a leak in a car tire with a long bubble stream, it will be a slow inflating bubble so you have to move slow and look carefully.
Another cause of the gas smell is a plenum that has a leak into it from the fire chamber. The fire burns and as the heat rises up and out the flue it goes through a baffle system. The inside is the fire and the outside the fan pulls air from your house over it and then pushes it through to the duct where it is sent throughout your house. If there is hole or crack in that baffle or the area where the burner is, it will pick up some of the exhaust from the flame and send it into your house. There could also be a leak in your flue pipe as it leaves the furnace, you can check this by looking at the exhaust piping. On top of the roof there should be a cap on the pipe like a hat. If this has been removed there could be a back breeze caused by wind outside.
As you can see there are many causes that are possible. They may be even more if I knew more of the facts. If you can't find the problem it is well worth finding a technician that knows what they are doing to fix it. You could tell me if you have natural gas or propane, in a mobile home or stick built home or any information about if it was a professional install etc.. I might be able to narrow it down.
Hope I have helped.. Feel free to ask for more details or give me information so that I can narrow it down. Remember!!! This could be a dangerous situation.