Well, this depends on what you mean by a smoke bomb. The smoke they use in theatres is known as dry ice.
Dry ice is solid carbon dioxide, that's usually a gas at room temperature.
You keep it solid by keeping it cold until you need it, then when you put it on stage at room temperature, it turns into a gas very quickly and causes a smoke effect. Smoke bombs are also going to be used to stop car thieves. This makes the chemicals vaporise and fill the car with a dense smoke that the thief can't see through. This is a stand-alone question which will eventually become integrated into the linked database.