So hair mainly consists of a protein called keratin. Keratin is made out of loooong molecules. These molecules are polymers, which means they are strings of similar, repeating elements - amino acids. One of these amino acids is cystein. Cystein in one strand is able to bind to cystein in another strand. This binding makes keratin stronger. So hair is keratin, and keratin contains a lot of cystein, and that's why it is so strong, and cystein contains sulfur. Sulfur smells bad when burned.