Both Propane (LP) and Natural Gas (NG) are quite smelly, due to the addition of odorants. If you are not familier with it, simply turn on your BBQ grill for a few seconds and take a whiff. If you ever smell this under normal operation, turn OFF the gas connection as soon as possible and remove any source of flame/sparks. If in doubt, just LEAVE and call 911. BTW, note that NG is lighter than air, so it will raise and disperse more easily out windows, etc. ... whereas Propane is heavier than air.
So ... while smell is a great indicator of a gas leak, you should do additional testing ... plus if you have a gas leaks, you need to figure out where it is so you can fix things. I've seen some fancy "do-hickies" that actually detect the odor in terms of "strength" and provide an audio signal that helps you locate the source. However, there is a "zero-cost" way of looking for leaks that is the same way used by professionals - soapy water!
I simply fill a spray bottle with about 1/3 Palmolive and 2/3 water and spray the pipes/connections. I then turn ON the gas, and look for any sign of bubbles - even a small amount of gas will cause these to form. Once you have identified the leak, the solution is usually just tighting the connection. In some cases, you should put pipe dope and/or pipe tape in place seal things - definately for "pipe" fittings, questionable for flare fittings. Always be careful tightening to make sure you don't bend any pipes in the process.
Another approach is using a manometer to do a leak test, looking for a pressure drop. But this will only tell you there is a leak somewhere - you will still have to find it using the soapy water gas leak detector. Also read about how I fixed a leak ... in the Hulk! ;-)