You can wear them, if you're not too interested in complexity of scent; they tend to mellow out quite nicely on skin. (Be sure, if you do this, to check into ones that are skin- or photo-reactive first. It is rarely a good idea to wear cinnamon essential oil, and bergamot oil should be on covered areas if you're going out into the sun.) I make foaming handsoap to refill my bathroom dispenser, and scent it with drops of essential oils. You can also use them as room scents -- much nicer and less likely to cause smoke or burn marks on walls or furniture than incense -- there are glass or ceramic rings you can place on lightbulbs, or plug-in warmers, or water warmers that are heated either electrically or with candles. (I've been known to drip essential oils straight onto a warm radiator, too.)
Pure lavender is good on burns, therapeutically. Pure tea tree oil is a good disinfectant for wounds or gross things like athlete's foot.
You can put them on blotters or on cotton balls in bags, and use them to scent drawers or cupboards, too.