If you're near coal country, that could be a source of it.
Down here in SW VA, we have lots of iron (wreaks havoc on plumbing fixtures and laundry) and sulphur (just stinks). The solution that works best is to aerate the water (inject air into the water). The air causes the iron to coagulate. It happens to do the same for sulphur. Then the water is filtered through a 'sand' tank that captures the coagulated particles. Periodically, the tank is backflushed. We haven't had sulphur smell or iron in years.