You'll probably want to explore resin based incenses. Fred Soll is a favorite of mine. He makes "resin on a stick" incense sticks, which are easy to burn (just like a regular stick), but they're much more dense than your typical head-shop incense. These things put out a LOT of scent. His Frankincense and Myrrh are amazing and his Magical Copal may be the best I've ever smelled. You really have to check these out.
Also, you could explore using Catholic liturgical incense-- it's the stuff priests burn during mass. You can find it at Catholic supply stores. You have to get some charcoal and a metal burning plate, etc, but it's very intense and puts out a ton of smoke and incense-- it's best to have a large home/ loft with high ceilings.
Also, I have some of the Comme des Garçons Incense Series Incense sticks that I got from Luckyscent. They're kind of pricey but good, though not as intense as the resin incense or the Fred Soll stuff. If you want something along the lines of L'Air du Desert Marocain, you might try Ourzazate.