Well here you all are, excited about making some awesome smoke photos! I'm going to get you started here with the setup and equipment I use.
My Equipment I shoot with a Canon 1DS and Canon 20D, I have an extremely DIY studio with a PVC backdrop frame and all sorts of different materials for backgrounds, but for smoke photos a black sheet will do just fine.
For most of these smoke photos I have been using my Canon 50m 1.8 and Tamron 28-75 2.8. I haven't tried my Canon 70-200 yet, because I've been getting good results so far.
Tripod isn't a must, but it sure helps. I use a tripod whenever possible.
Lighting is the MOST important part on smoke photography. You need to get as MUCH light onto the smoke as possible without spilling onto the background or into the camera. The Idea is to have no light on the background so there is total blackness and all the definition in the photo is of the smoke.
I have lit this a few different ways, one way is a flash with softbox shooting 90d from center with a reflector or second strobe on the opposite side. It can be done, but it doesn't produce the best results in my opinion. You have to flag the front and back to avoid any flare in the lens or clarity on the background and can be a bit clumsy.
The best way I have found to light this is directly from above with a snooted flash. I use a sort of makeshift boom stand to hold my light with a snoot. Nothing fancy, my snoot in this case is a spray painted NASCAR Big Gulp cup with the bottom cut off. :)
You could meter the light, but I have found my meterings to be inacutate since this is such a strange subject to photograph. I set my light to about 3/4 full and shoot at f4-f10 and 1/200 - 1/250 sec.
Now the smoke. Once you have your lights set and you camera set, time for the model. I use standard incense sticks from Walmart. I don't LOVE the smell, but it's not bad either. At first there doesn't seem to be much smoke, but once that light gets on it, against the black background, it really pops.
You can add 2 or 3 sticks for more smoke or different lines of smoke if you want, but the smell and smoke can be a bit overwhelming, make sure you are close to a window.
The best results are very white and grey smoke against a pure black background.
Hope that helps, I'll post some pictures of my setup soon so you all can get a better idea of how I shoot smoke photography.