An “experienced nitrous user”? Is that anything like an experienced glue-sniffer?
Anyway, speaking as an experienced automotive nitrous user, gearhead nitrous is indeed doped with a few parts per million sulfur dioxide, to give it a nasty smell. (Supposedly it’ll give you a mongo headache, too.)
They do that so that us gearheads can buy it at a welding-gas supplier or speed shop without having to have a prescription or handle a bunch of paperwork.
Chas- That’ll larn ya! 
Chances are you were using an automotive tank? If so, keep in mind they usually have siphon or “dip” tubes, to bring liquid directly to the valve. Crack the valve on a tank like that even for a fraction of a second and you’ll get a dense, supercooled cloud that was probably a far larger “hit” than you’d planned. Can we say asphyxiation?
Do me a favor everybody, lay off snorting the car stuff, huh? I don’t want to have to get a note from a doctor every race weekend, eh?
As for other gasses, any welding supply shop will be happy to rent or sell you various size tanks of acetylene, industrial oxygen, (not for breathing) argon, helium, carbon dioxide and nitrogen.
Depending on the substance and the tank size, they may have you fill out a rental agreement, and some places will restrict sales to those who have a need- fab shop employees, service station guys, etc.
There are a great deal of rules involved with compressed gas tanks- most condos, apartments or rentals will restrict 'em on the property, tanks have to be stored properly, and no shop will let you carry a tankful of anything home in the trunk of a car. (Gotta be in an open pickup- no SUVs, vans, suburbans, etc.)