Smoked foods have been around for hundreds of years, and was originally used as a means of making meat and fish cuts last longer than they would have usually. Before refrigeration meats would have only lasted as long as they were kept either cold or salted, which deterred bacteria. Smoking was discovered to be as effective as salting meats without ruining the taste.
Smoking meats and fish in itself has two main purposes; the first is that it gives the food a unique flavor that many people prefer to non-smoked foods in some cases. There are several different woods that can be used in this case each with differing flavors. The second use of smoking is that it will make the food last longer, although this is largely moot these days anyway because of home freezing and refrigeration. The reason it is still done is because it enhances the flavors of meats and fish in particular, which otherwise can sometimes taste bland and a little plain.
However regularly eating smoked foods has recently been shown to be harmful and can put you at a greater risk of getting a range of different cancers. The smoke particles that are absorbed into the meat and stop it from becoming rotten are in fact hydrocarbons, which inhibit the breakdown of the proteins in the meats. However these same particles are in fact an irritant to our digestive systems because we are not naturally intended to inhale or consume smoke particles.
The same as you wouldn't want to eat cigarette ends, eating smoked foods puts you at similar risks as smoking and also contains many of the same chemicals found in cigarettes. Chemicals such as a range of carcinogens as well as tiny particles of coal dust are consumed along with whatever meat you are eating. These are actually the same as what you might find in the air as a pollutant, or coming from a cars exhaust. Which I think everyone can agree isn't healthy to be allowing into your body.
Modern day smoking processes aren't actually the same as they were when the concept was first put into practice either. Today they often involve the addition of numerous preservatives and additives as well, some of which are known to aggravate allergies such as asthma. This is particularly true when artificial smoke is used, which is known to be a lot more harmful than real smoke. The reason it is used is simply because it is cheaper to produce and speeds the smoking or curing process for mass production.
It isn't just smoked foods that you might buy that are harmful however. Barbecuing or charcoal grilling your own regular meat contains harmful levels of chemicals as well. While it is not as bad for you as foods smoked in their production, there is still a trend of higher levels of cancer in people who regularly eat meat they have cooked in this way.