This depends in part upon the individual, how willing they are to enter the hypnotic state, and to what degree they are willing to let go and engage in the process. At the same time, the effective communication abilities and skills of the hypnotist play an important role. Some people are naturally able to enter a deeper hypnotic state (somnambulists), while others are capable of entering into deeper states, because they have been hypnotized in the past, practice yoga, or engage in meditation.
How deep you go in hypnosis is not that important, except for in instances where hypnosis is being used, for analgesia or anesthesia, by way of medical referral. The fact of the matter, which may come as a surprise, is that light hypnosis appears to work best for smoking cessation and self-improvement issues.