If you don't have a reservation you might not be able to stay on the train all the way to your destination. Also with a reservation you know what car you need to be in, in case the train splits and half heads off to a destination that you didn't want to go to. On most European train systems there is little or no difference between first and second class except for the price. However, in Italy there is a difference and it might be worth your while to get a first class seat. The only drawback to first class is that you don't get to meet as many interesting people on the train.
People smoke all over Europe, even more so than in the states.
This is true on the trains people will smoke in any car on the train, even if it is a non-smoking car. There's not much that can really be done about it except to get used to it.