In addition to other trees/shrubs/ flowers listed by others, when locust trees are in flower, they have a heavenly scent.

To grow as annuals:

• Four o'clocks (my grandmother used to grow these--they smell wonderful)
• Petunias (the old fashioned kind since new hybrids don't have much/any fragrance)
• Stock (but I never had success growing stock in New England or Buffalo)