Or: does incense make you high?
Here's a journal article (seen on Fr. Z's site) that says there's a component of incense that "causes anxiolytic-like and antidepressive-like behavioral effects in wild-type mice". In other words it makes mice seems less anxious and less depressed. How you can tell when your mouse is less depressed, I don't know. I'd have to pay for access to the full text of the article to find out.
Anyway it's a far cry from a mouse study to knowing how incense affects human beings. But there is this weird thing. Every time I go to the traditional Latin Mass at St. Mary's by the Sea, the incense makes my head all tingly. It only happens at that one parish. I've inhaled lots of incense in lots of other churches since becoming Catholic, and it's lovely, but doesn't give me a buzz. But at St. Mary's they must use different incense, or else there's some powerful psychosomatic effect going on, or perhaps (I just thought of this!) it's because it's such a little church, which puts me much closer to the altar and makes the incense smoke stay more concentrated. Anyway, it's very pleasant.