Potassium Nitrate, Sodium Chlorate any good oxidizer really
Sugar
To make a simple smoke device mix 50 parts potassium nitrate with 50 parts sugar and light it. This will produce a fair bit of smoke.
To make an even better smoke device aquire a metal pan. Then mix 50 parts potassium nitrate (i would only use potassium nitrate for this procedure because a stronger oxidiser will most likely ignite when heating) and 50 parts sugar. Then place this pan on a very, very low gas and gently heat until it starts to melt around the edges, turn the gas off and keep stiring the mixture until it is all melted and is a light-brown colour. Now put this into a container of some sort and allow to cool, when its cooled down it will be rock hard and ready to light. Iff you wish you can place a fuse in the light-brown mix before is sets. This produces a load of smoke.