I've been the queen of incense this winter. It's sometimes all I've felt like wearing.
For the ULTIMATE in incense: Norma Kamali Incense. This is a fascinating, deep, dark, rich, potent brew of burning frankincense, copal, myrrh and even the hot charcoal tablet thrown in for good measure. Just a couple drops registers a sillage of "incense" to others. This truly is lovely when layered, as suggested, with Norma Kamali Perfume. Also layers well with Jil Sander No 4 and Etro Sandalo. Have yet to try it with Joy...
Shaal Nur by Etro. Another one that's been getting lots of wear. Kind of a "shaving creme" opening on me that mutes to a soft citrus-rose (that's the most un-rose I know) on a bed of incense and vanilla. I just love this one and would absolutely bathe in it if I weren't afraid I'd get olfactory fatigue and someday not be able to smell it.
Serge Lutens Fumerie Turque- Turkish Smoke. Okay, it's smoke but it smells just like incense with skin and dried rose petals and honey and powder and more incense and campfires and more incense. Just gorgeous!
Angelique Encens. For a time I had the huge bottle in its box on my desk. Every once in awhile I'd catch this WONDERFUL waft of incense while I was working. It took me some time to figure it out- duh! Everything about this one paints a soft, misty, grey/blue image- just like a wisp of smoke rising off a stick of incense. Another one to be head-over-heels for.
Serge Lutens Encens et Lavande. A fresh burst of floral lavender undercut with the pungency of sage and hot coals of incense. A beauty that will someday be full-bottle worthy if I ever get to France.
Some other worthy mentions:
Demeter's Holy Smoke (gone in 15 minutes though- but good.)
CdG Avignon (I prefer NK's Incense above though.)
Messe de Minuit (wonderful but weird and not for the "un-initiated."
Sandalo by Etro (not really incense, but almost-incense.)
L'Air du desert marocain (almost too dry to be incense but it has that feel.)
Padparadscha by Satellite (cross between L'Air du desert marocain & CdG Avignon but with a "fleshy" note in the heart- not sure I like this one.)
I also agree that Shalimar does have an incense feel into the dryout. I love Shalimar.