In addition to H. Citrina, which has already been mentioned, another species, H. Flava, a/k/a/ Lemon Lily is super fragrant, by far the most fragrant in my garden. It blooms a full month earlier than the EMs - a whole different bloom time.
EARLIANNA, a nice dip from 1938, also very early and very fragrant. I suspect it is a H. Flava kid. Slightly larger flowers and slightly taller scapes.
I have many many fragrant ones, but it's hard to remember now, in January. I spend a lot of the summer on my knees with my nose in daylily blooms. I thought I had hay fever until I tested negative for it and realized that my congestion was from snorting so much daylily pollen at bloom time.
Judy Davisson's MISTER GREEN JEANS is HIGHLY fragrant. And an EXCELLENT flower with a KILLER scape. I highly recommend for a clear yellow. MGJ makes the air fragrant in my garden because it is a clump and the flowers are at face level (it's in a slightly elevated bed, but is pretty tall anyway). Most daylilies require nose in flower, in my experience. BUT, I always look for still, humid weather when my locust trees bloom in early June - in those conditions, they smell up the whole property as richly as driving through the orange groves in FL at bloom time. Similarly with my datura - they seem more fragrant in humid weather. Also, many fragrant flowers seem more fragrant in morning or evening. See, e.g. Citrina Vespertina (vesper being latin for evening)
LEMON LILY (H. Flava) (this may be a clone - you'll see them with slightly diff flower forms and shades of yellow, but this blooms super early and is super fragrant)
EARLIANNA
MISTER GREEN JEANS