The burning smell from the exhaust pipe may be caused from oil or Transmission Fluid leaking into the exhaust pipe. For example, if your turbo is failing on the car, then that can cause leakage from the manifold into the exhaust pipe. There may be other reasons, too, which other people will be better articulating.
Its just the wax they have on them to stop them from rusting while in storage
This would depend on your nose. A bad CMP sensor may cause improper burning of the fuel and can give a smell out the tailpipe. Will the CMP smell? Never. A Ford camshaft syncronizer will squeek and could cause a metallic burning smell.
Well if I had one with that problem I would look closer cause it is leaking on the exhaust somewhere.
yes nd it will also give of a oily smell with it
Could be overheated coolant or just leaked oil burning off your exhaust headers
Your car may be on fire.
the bearings
your catayltic converter is bad and needs to replaced
The starter is burning.
Be sure there isn't a fuel leak that you may be mistaken for it coming out the exhaust pipe. Is it there when the car is off? IF it is still there, It may burning exceptionally rich (which I doubt), or there may be a misfire and the fuel in a couple cylinders are not burning at all. http://www.autozone.com/servlet/UiBroker?UseCase=S001&UserAction=viewSimpleDiagInfo&Parameters=info
Many things can cause a burning smell under the hood of your car, if the smell is accompanied by smoke you are most likely looking at a fluid leak dripping onto something hot and burning off. If it smells sweet this would be a sign of a coolant leak. A ozone type smell would most likely be caused by a burnt clutch (standard transmission) or brakes hanging up and staying applied. burnt clutch smell would be expected if you have a new driver learning to drive a stick. An exhaust leak would smell, well, quite frankly like exhaust which is a dangerous gas to be inhaling (CO2, CO, etc). either way if your car is smelling funky you should really have a professional auto technician check it out to prevent damage to your health, the environment or future damage to your vehicle.
Blue exhaust smoke is burning oil.