Equipment I use:
* Canon EOS350D
* Sigma 18-125, with lens hood
* Cable release
* Sigma EF-500 DG Super hotshoe flashgun
* Vivitar 285 hotshoe flashgun
* Cardboard snoots
* Various coloured gels
* Lots of gaffer tape
I use incense sticks as a smoke source, as they're cheap, long lasting, easy to work with, and smell good.
Decent ventilation, or at least regular air breaks, are important - not only does trying to work in a room full of smoke rapidly become uncomfortable, it also robs the images of definition and contrast.
To get crisp images, a small aperture is a must. The wide depth of field helps keep the smoke in focus even when it's drifting towards and away from the camera. I tend to work at around f/11 and upwards. As for shutter speed, I shoot at my max sync speed of 1/200.
The disadvantage to using a small aperture is that I need lots of light. Buckets of the stuff. I use my two hotshoe flashes at full power, with cardboard snoots to give me a tight aim, as close in as I can get, and if I had a third I'd use that too.
It should be possible to get away with continuous lighting too, if one were to have enough of it, and didn't mind perhaps cranking up the ISO a bit.
To get different colours in the smoke, I attach different coloured gels to my flashes. No photoshopping involved
With that much light flying around, a lens hood is a very useful thing, and allows a bit more flexibility in light placement without unwanted lens flare.
The usual compositional tricks apply; get in close, fill the frame. My favorite shots have all been at the top end of my zoom range.
The trick to getting a properly black background is simply to not get any light on it. To this end I snoot my flashes using a rolled up and taped piece of black card, aim them away from my background, and try and keep the smoke source as far away from the background as I can.
Resources and links:
Flickr artsmoke group