What is the Black Smoke?

The black smoke is some kind of force that could be animal or man made. Season two is when we began to see it, with the same grinding noises we heard when the unseen force had appeared in the past.

Locke and Eko

The black smoke grabbed Locke (Ep: 1x24, Exodus Part 2 ), and then later it gathered into a cloud which Eko looked into (Ep: 2x10, The 23rd Psalm). It's possible that the black smoke is each person's own personal demon. In other words, when they look into the black smoke, they see their biggest fear, which is different for each of them.

Faith

Many have seen the smoke, but only Locke and Eko have really looked into it. They both seemed scared but calm. They are both men with strong faith. Eko has a strong religious faith and Locke has a strong faith in the island. I think that this faith makes them strong in the face of adversity.

The other people on the island cannot look into the black smoke, because it reflects back what they fear most, and they are not yet at a point in their lives where they can handle it.

Who or What Controls the Black Smoke?

In order to believe this theory, we would have to believe in a higher power, something spiritual that is, or controls the black smoke. Another possibility is that the black smoke is somehow controlled by someone, perhaps those of Dharma to scare people away from locations that they are trying to keep secret.