Smoke is not so much a single gas as it is an assortment of different solid, liquid and gas particles floating around in the air. Smoke can contain many different chemicals depending on what was burnt, but visible smoke is primarily composed of carbon, oil and tar.
Smoke can be very harmful to human life if inhaled. More people die due to smoke inhalation when in house fires than from the actual fire. Cigarette smoke is comprised of over 4,000 different chemicals, including 69 carcinogens, which are known cancer-causing agents. Smoke is created when the burning object doesn't burn completely.