I have found that in our gross anatomy class, the worst part of it is not the smell of the formalin (formaldehyde) but the smell of the fat under the skin and something in the axillary region. It tends to irritate my nasal passages more than anything (the smell in the room doesn't bother me), and you sometimes have to stand back before continuing a dissection.
Probably the weirdest thing so far is while dissecting the axillary region, my fellow students on the other side kept moving the cadaver's hand and the fingers kept tapping me on the head. You just try not to think about what you are actually doing, and focus on the dissection and learning aspects.