I'm sure you all know, but...

Check your candles for leaded wicks!! A lot of cheaply made candles use lead stiffened wicks, which can cause lead contamination of the air when burned indoors. Read more at NewScientist.com

I wish there was a way to tell by smell, but there isn't. When in doubt, make sure that there is more than plenty of ventilation. Of course, never leave candles burning unattended, unless you really enjoy playing fire engine roulette... ;)