I have always enjoyed playing around with smoke effects. And once I tell you this you won't be able to help noticing it but there is added smoke or haze in just about every movie you watch. When the heroes go into a cavern and turn on their torches you can see the beams of light because they have added haze - for that purpose - to add "atmosphere"- even though it's a damp cave where there should be no dust it's simply there to "look cool". There is a company that sells "Atmosphere Aerosol" which is quite interesting to use but needs to be back lit because it is more of a haze than smoke.
In the next outdoor movie you view watch the smoke in the forest scenes, in movies showing old buildings and libraries watch the haze in the air as they make the actors stand with a window behind them. Smoke effects are as much in use as lighting effects - we just don't notice it most of the time because we think it's natural smoke and haze.
I like thicker smoke because it is more versatile, it can be used as smoke or "fog" from the front or simply left to dissipate and be used as "atmospheric haze" when it is no longer visible when front lit.
I have made plenty of potassium nitrate smoke bombs and they create nice billowing smoke for a while or, if packaged correctly, a 3-5 minute constant output of smoke. These methods can be a bit of a fire hazard and even dangerous if not done properly. I had a 5kg pot of molten wax and potassium nitrate and sugar smoke bomb mix turn into a rocket engine in my garage - totally my fault of course [I impatently turned up the gas cooker to melt the wax faster] but also an indication of why it is necessary to find an alternative - my car's resale value is also lower due to the burn marks on the paint. Smoke grenades are commercially available at quite a cost - and I personally don't like the different colours because they are obviously fake and only good for novelty shoots - though occasionally that is fun - but use them wisely as you get about a minute for your $20. I prefer natural looking smoke that can double as mist or fog and produce atmospheric haze as a useful by-product - it makes sense in almost any photo - coloured smoke doesn't [but as mentioned, is still fun now and then]. I also wanted something that doesn't need too much attention to get it working properly. Something you can 'set and forget' and leave on the side while you take pictures or video. Devices like that are expensive and I think I have finally found a cheap compromise.
Introducing the insect fogger - don't put diesel and poison in it, you're not trying to kill insects - rather add a 50/50 mix of water and vegetable glycerine, it has hardly any smell to it. Here is a demo video of what I hope to use in future for some photoshoots.
An insect fogger is reasonably easy to use and work with. I paid NZ$225 for mine [US$152]. Also, compared to smoke bombs there is no smell from it. The added advantage is that it is much safer to breathe, basically as safe as being in a disco for the night. Smoke bombs that burn can get an awful smell depending what you put in them to slow the burning down but last night when I used the fogger in the street it looked like a foggy evening, there was no smell to suggest something was burning, which prevents the neighbours calling the fire brigade.