Lots of great answers below - but it really depends on what is causing the smell.
In Las Vegas, you should be able to have your windows open quite a bit. Not an option here in Chicago unfortunately. Fresh air will be your biggest ally in mitigating a smell. As stated below, have your ducts cleaned out also. Some owners have never done this, and god only knows how much dander, dust, and other stuff has built up over the years. The air circulating through the systems of the home is basically spreading that stuff back around your home constantly.
Re-painting will help quite a bit also. I would prime all the walls with a product like "Kilz" interior paint, which will essentially seal all stains and odor into the drywall - before painting. As Mary stated wisely - paint the ceilings. Yes it's a pain - but it will do wonders for how it looks and the effectiveness of removing odors.
Steam cleaning the carpeting will also help freshen up the home and remove odors.
If there are pet odors - the carpeting and/or hardwood may need to be replaced, especially if the cause of the odor is urine. If it's gotten underneath the flooring, then a simple cleaning isn't going to do the trick.
Candles/air fresheners definitely "help", but in my opinion - they only "mask" the odor, instead of addressing the root cause.
Hope this helps! Good luck!