There are basically 2 types of heating here in SW Florida: Electric Resistance Heat and Heat Pump.
The first type, which is 95% of all homes, is electric resistance heat; in essence, a very large toaster.
Located inside the Air handler, the electric heater is located right in front of the blower motor. When you turn your heater on, the heat strips energize and get hot enough to glow red (exactly like a toaster); the blower motor also comes on, moving your inside air across these red hot heat strips, warming your air. The benefit of these types of heating systems is cost -- they are very inexpensive. Plus, inexpensive to repair. The downfall is cost to operate and relative safety. It costs 3x more to run your heat per hour than your AC, and if left unmaintained, can be a fire hazard.
The burning smell you get when you turn your heat on for the first time is just that- the dust and debris that has collected on the heat strips is burning off, creating a bad smell, and even sometimes causing the smoke alarms to go off. To avoid this, change your filters every month, and turn your heat on for 5 minutes monthly.
The 2nd type of heating system in our area is a heat pump system. This is much more involved, and basically a valve in the AC system reverses the refrigerant flow through the system causing the hot gas to go to the indoor coil, warming the air as it passes over the indoor coil. The advantage to these systems is that it is the same cost to operate as your AC system -- 300% less than electric heat. The downfall is that these machines are much more intricate and are much more expensive to repair. To avoid expensive repairs on a heat pump, it is very important to cycle the heat on for 5-10 minutes every month to prevent valve and moving part seizures.
Heat System Repair
Heating System Installation
Heating System Maintenance