We study the heat transport in systems of coupled oscillators driven out of equilibrium by Gaussian heat baths. We illustrate with a few examples that such systems can exhibit “strange” transport phenomena. In particular, circulation of heat flux may appear in the steady state of a system of three oscillators only. This indicates that the direction of the heat fluxes can in general not be “guessed” from the temperatures of the heat baths. Although we primarily consider harmonic couplings between the oscillators, we explain why this strange behavior persists under weak anharmonic perturbations.