I've had issues with my well and the sulfur smell. I read somewhere a while back about a bacteria that consumes Iron (I have a ton in my well) and produces a sulfur smell. Ours was bad until we treated the well, then the smell went away.
Couple of observations I have. First, make sure you don't have electrical tape securing your wiring. I know this is obvious, but if you don't know who installed it or how it might be worth taking a look. I had some wiring that was twisted together and taped. We shocked the well with bleach, and it dissolved the tape enough that the pump wire would short on the well casing and pop the breaker. I removed the extra wiring, and wire nutted the remaining wire then taped them. I have not had a problem since.
One summer I had dropped my pump to the bottom of the well to pump out extra iron and sludge. Before I put everything back together for normal operation I dropped a couple of 3" pool chlorine tablets, then put the pump back down the well. I could detect a slight chlorine smell for the next couple months, but no more than you would with city water. I've thought about doing it again.
Shocking the well is no big deal. My well sucks, but I treat it once every year or two and it works out okay.