Most of the good modern lamp oils shouldn't stink out the house, and as others have said you can get scented oils or scent it yourself. One thing I would say, especially after watching "period" programs is to keep your wicks short and trimmed. In too many programs/films you see the thing smoking away like a steel factory chimney. Lamps shouldn't reek like that, it'll smell and blacken your walls.
Good luck and have fun,
GB.