I've been wanting to try photographing smoke for a while. I finally bought some incense sticks and proceeded to smoke-up and stink-up my home office. Graham Jeffery has an excellent blog entry on how to photograph smoke. If you're interested, I'd head over there to see his photos and read about his technique. I'll post some comments on my blog when I get a chance. I colorized some of these images in Photoshop. Those that are more subtlety colored (about half of them) show the natural colors of the smoke itself (with some saturation added in a few cases).
All of my smoke images were created with two light sources. The first was natural light coming through an window on the left. I doubt the natural light contributed much (if anything), because my shutter speed was 1/250 and the f-stop was f/10. To the right of the smoke I placed a Canon Speedlite set to full power. Those setting pretty much nuked any ambient light. To prevent any light from spilling onto the background, and flaring into the lens, I attached a couple of 4" X 8" cardboard "gobos" to the sides of my flash (using Velcro). I wish now that I had taken a setup shot. Oh well, next time.