A burnt marshmallow smell may mean an overheated power supply source. Or, smoke may be coming out of your heater vents. Other reason could also include: burned paper money.
This YouTube video also talks about the smell of burnt marshmallows coming from a refurbished TV.
If there are lurking strange smells in or around your house, you may want to do a little investigation. Find out where those smells are coming from at BouldenBrothers.com.
Check out Popular Mechanics' 11 Shocking Home Electrical Safety Tips.