Glad to hear it wasn't something worse. We had our furnace burn up last year and smoke was coming out of every vent and filling the house, the wife called me in a panic as my son was running around playing in all the smoke, and it turned out we could either fix it and wait for something else to go wrong, 15 - 20 year old furnace, or buy a new one.
with -20°F weather in the future we decided it was probably a good idea (for the protection of our pipes) to go with the new furnace.
From the sound of it, you did the right thing! Don't think those fumes were very healthy.