NO, YOU ARE NOT CRAZY!!
This is a very common question on medhelp with about 1500 posts that turned up in my search. The condition is called phantosmia and has many possible causes. You should be evaluated by your doctor. One possible cause is a sinus infection. A rare but possible cause is a tumor. It can also be caused by head trauma or a virus. Some people find that the condition goes away, others deal with it for years. Most people smell smoke, but others have different odors.
Here are a few links to the more popular threads:
http://www.medhelp.org/posts/Allergy/constantly-smell-cigarette-smoke/show/582417
http://www.medhelp.org/posts/Allergy/same-problem-with-the-smoke-odor/show/557777
The second link has a post from one of the doctors early on that has a link to a Mayo clinic article on the subject.
I will be posting a Health Page on the subject soon as I have been diagnosed with a related condition, parosmia, and have done a lot of research on both conditions. I hope to get that done in the next a week or so. The school I teach at, just let out and I will have more free time after I get finals graded and grades posted. I hope that will help you and many others who truly suffer with this condition.
Take care and God bless.