It depends on what is causing the odors. Many of the worst smelling compounds are thiols and small carboxylic acids. Small carboxylic acids get absorbed very nicely by weak bases like sodium bicarbonate, and the thiols are nicely oxidized by the hydrogen peroxide. There are also some amino compounds which are very smelly, and are absorbed best by vinegar or other acids. Some examples of common nasty smelling compounds are propanoic acid (partially responsible for smelly feet), caproic acid (smells like goats or other farmyard animals), putrescine and cadaverine (small diamines, responsible for the smell of decaying flesh, bad breath, and other bodily odors), methanethiol (rotten cabbage, bad breath, flatulence, and many other biological smells).
If you know what you are trying to remove from the air, the choice of chemicals becomes very simple.