Marco, I've spent a lot of money and put in a lot of effort trying to find a fragrance that matches the incense used in mass, so I'd like to share my thoughts on this with you.
I attend mass regularly at home in Northern Ireland and have always loved the incense that is used, and in my experience it is the same incense (frankincense) that is used in catholic churches all over Europe, at least in my experience. I've been to mass in Spain, Portugal, the Czech Republic, England, Italy, France & Germany and it has always been the same incense. However, I wonder if it's a different kind of incense that is used in America, as I've noticed there is often disagreement about what exactly constitutes a "churchy" smelling incense.
To take Gucci envy as an example, yes I can smell incense in there, but it's very definitely not a churchy type, it's the kind of incense burned in sticks (usually called Joss sticks here in the UK), much sweeter and not as resinous or dry as the church kind.
I hope my thoughts on the following can save you the time and money I put into finding a fragrance that satisfied my craving for incense:
Passage D'Enfer: This is Myrrh, with a hint of lilies. Although I love it I was struck at first at how rubbery it smells! It has a faintly stone-like smell, but is very airy and light. Many people talk about how this evokes images of ancient cathedrals and candles burning and monks chanting etc. etc. Whilst it may evoke those images it certainly does not smell like a church incense. Yes, I know Frankincense & Myrrh are the archetypal church incenses, but myrrh is not extensively used in mass and actually has a somewhat burnt, almost bitter scent.
Messe de Minuit is another fragrance that has been raved about as being dark and gothic and churchy. I can only assume that most people writing reviews like this are talking about impressions and images the fragrance conjures up in their minds, or have maybe been caught up in some of the hype that surrounds this one. This scent was actually the one I was most disappointed with. It starts off with a blast of orange, which soon mellows to a warm, cinammon & spice scent with a woody base. I do love this fragrance, but again it is definitely not a churchy incense. So what's the link to midnight mass? It seems to me that this scent is trying to capture the scent of Christmas - not many people seem to have picked up on the fact that midnight mass refers to mass on Christmas Eve. Rather, it seems to me that people are imagining mass in some ancient church at the dead of night, gothic and creepy. the scent does have a certain musty smell about it, but it isn't really churchy smelling at all, and is a really warm, comforting scent.
CdG Avignon: Now, this is a good one. The opening notes are pure catholic mass. But, this being a CdG fragrance there's a twist. They've managed to get in the entire range of smells in an ancient cathedral: Incense, smoke, stone, candle wax, the works! It's a beautiful fragrance, and very recognisable to anyone who's ever been to mass, but the other elements in it tend to come to the fore once the topnotes have faded and it becomes less recognisably incense-y. A cold and beautiful fragrance though. It's worth checking out Shanghaijava Encens Mystic by Crazylibellule and the Poppies. It's a perfume solid, very cheap and easy to get hold of in Europe and America, and smells remarkably like CdG Avignon.
Gucci Envy I've already mentioned, very sweet and not churchy at all. Gucci Pour Homme however is worth checking out. In fact it'd probably be the easiest to get hold of. Although Supermarky has mentioned that it doesn't have frankincense, it does have olibanum, a resin that is very closely related to frankincense, in fact the names are often used interchangeably. Combined with the smokiness and leather/wood base it somehow manages to smell like catholic mass incense! I've had people comment on how churchy this one is, in fact my cousin looked at me as if I was deranged and asked why I wanted to smell so priestly! Very nice, although once the basenotes are reached it loses the churchiness and becomes a spicy, leathery woody scent. Gucci Rush has a hint of catholic incense, but is much more woody, and the similar smelling Azarro Visit has a touch more nutmeg and pepper but still has a churchy scent, in fact you might want to check that out, it's quite easy to find and cheap too.
The one scent I've found that is a completely true recreation of church incense is Armani Prive Bois D'Encens. It's extremely expensive and hard to get though. Many people feel that it's a very woody scent, and the Armani website talks about how it recreates the scents of some island Giorgio armani visits, but the incense is the main ingredient here. I read an interview with Giorgio Armani at the time the Prive scents were released where he spoke about how he wanted a scent that would remind him of going to mass as a child with his grandmother, and believe me this is as good as it gets. Sorry it doesn't fit into the easy to find category though.
One last thing I'll say is that I wouldn't bother with frankincense essential oil, it doesn't smell like the incense that is burned. Well, it does a bit, but it lacks the dryness and smokiness of, well, incense smoke!
I'm sure I've left some fragrances out here, if I remember any I'll add my thoughts later. And again, I wanted to share all this with you just so you don't have to spend as much time or money as I had to to be disappointed!