It's a little bit of try-and-see thing, depending on your purpose. A while back I was experimenting with herbal incense, seeing what would smell nice (sometimes along with correspondences) when it was sprinkled on a coal. Apparently cinnamon, nutmeg, and a couple others powdered and blended smell like cookies. Some herbs smell pretty bad, while some smell odd but not terrible.
Most incense you find on the shelves at stores these days is made of a blend of charcoal powder (sometimes just powdered aromatic wood, depending on how it specifically burns), floral or herbal powders, and some essential oils. The really cheap stuff can be questionable, being less expensive by means of having less of the scent (that is, for example less sandalwood powder for sandalwood incense), lower quality oils, and sometimes may have a completely different ingredient list which just mimics the aroma labeled on the packaging.