The debate over Smokey's true identity keeps growing, so I thought I'd throw in. Speculation continues, and I think it should, since we've got no definitive answers; however, I think there's something staring us all in the face, whether we choose to see it or we don't. That is, there's much more evidence in favor of Nemesis and Smokey being one than there is to the contrary.
Theories against this position have ranged from simple denial to general speculation. I won't deal with the denials, as they are not actually arguments. Some of the speculation is interesting. A few of the more recent - and, in my opinion, some of the most interesting - are 1) The Smoke Monster is a shape changer, like Nemesis, but changes shape for different reasons than Nemesis (NotallwhowanderareLOST); 2) There are actually two Smokey's, one of which is a judge, the other an executioner (Dmil123); and 3) Both Smokey and Nemesis are manifestations of the Island (Djr7). I'll deal with the first two. The last one I mentioned because I think it's cool. Very interesting.
Not that I don't think the first two are cool, because I do. They're well thought out theories. The only problem I have with them is they don't conform to Occam's razor, which is basically the law of simplicity, or the idea when there are a number of competing theories, the one which answers the question in the least amount of steps while remaining plausible is probably correct. So we need only look at one aspect which is shared by Smokey and Nemesis to determine, albeit tentatively, their true nature(s). And that is their ability to take the form of other people.
While I find all the theories about this shared ability interesting, I think they fail in light of Occam's razor. What we have is a being who can assume the form of others, and then we meet Nemesis, who assumes the form of Locke, and, quite possibly - in fact, most probably - Christian. We want there to be reasons they are separate things. I even think it would be interesting if they had an explanation to this end. I think, however, the weight shifts radically in favor of the two being one when we ask the question: why would there be two beings on the Island who can shapeshift?
The only real evidence in favor of their being two or more shapeshifters on the Island is an argument from ignorance: we can't prove there aren't more shapeshifters, so it's probable, or at least credible, there could be. This fails right away, as it is a fallacy. It's not the case that one's inability to prove there aren't more means there necessarily must be. One can't prove a negative, anyway.
So, in the end, we agree there is a shapeshifter on the Island; we agree we've met Smokey and Nemesis; we agree we believe we've seen them shapeshift. Since we agree to all these things, we must face the probability there is one rather than many. And that means the Smoke Monster and Nemesis are, more than likely, the same person.