What does natural vanilla extract smell like?
"Pure vanilla extract is made by macerating and percolating vanilla beans in a solution of ethyl alcohol and water."

[Source: http://en.wikipedia.org/wiki/Vanilla_extract]

There is alcohol in it, that's why it smells like it has alcohol in it :)

So it is perfectly normal.

Personally, I find extracts and essences of vanilla to be a complete waste. To get that lovely vanilla smell and vanilla taste, add vanilla beans. To combat the relative high cost of vanilla beans, buy in bulk and store correctly, your vanilla beans can last for ages.