TL;DR Check out natural incense from different countries/traditions. Don’t burn cheap stuff, it’ll give you a headache and potential health issues.

There is a plethora of incense beyond cheap rolled sticks that we see everywhere. I’d say, go for the most natural stuff you can find. For that you will most likely need a store that specializes in incenses to some extent. Good incenses may not be cheap, but in the long run your lungs and smell receptors will be grateful to you :)

There are some classic base materials that are incenses themselves, but also are widely used as a base component in complex aromas. These include frankincense (of many varieties), myrrh, agarwood, juniper or sandalwood powder and many more. Most of them have pleasant pure scent. Try burning a small amount on a charcoal and you’ll be able to sense them in mixed incenses after that. In Latin America they have copal (which is similar to frankincense) and palo santo wood on this team.

As for Indian rolled sticks: only buy those covered with powder, it will guarantee at least some quality, otherwise it would be just a charcoal core soaked in synthetic aroma oils. AFAIR “HEM” is always bad. “Satya” is a safe bet among popular brands, although as someone already mentioned all their products smell kinda the same at first sight. There are still places in India where they make sticks from natural powders and essential oils, of course more pricy and less easy to come by, but their aromas are truly rich and diverse. Most of Indian aromas are strong, sweet and intoxicating.

Another popular type of incense is made in form of solid sticks from powdered aromatic wood, ground medicinal herbs and other solid ingredients with little to no use of essential oils. Mainly originated from Tibet, they are now produced in Nepal and Bhutan. They have smoky, earthy and herbal aromas. Most of them have relaxing or concentrating effect thanks to herbs. They’re easy to come by online or in Buddhist-related places.

There are Japanese incense, Nippon Kodo for example, which in my experience mostly smell like highly refined Indian aromas, but they also have some bizarre scents like “Pais Cafe” (cinnamon, bread and coffee) or Aqua (basically an amplified watermelon smell). A distinctive feature of Japanese incense is that giving rich aroma they produce as little smoke as possible. Needless to say they’re the most expensive of all.

This is what comes to mind first. The list is far from complete, feel free to ask questions if you decide to dive down the rabbit hole :D