It does depend on the colour of the smoke.
If the smoke is blue-black then in amongst the diesel soot you're also burning sump oil. If it's been doing this for some time you'll see a decline in the amount of oil in your sump. You can lose oil through the seals in the turbocharger, this is then blown into your intake manifold and burnt.
If it's only black smoke, I'd have the turbocharger inspected. If the bearings are loose, the turbo won't spin up as readily and will make more noise as the shaft vibrates within the bearing. Check the shaft play - if there's any, or if there's a gritty feel when you try to turn the impeller within, this is a sure sign that your turbocharger has little time left in this world and I would strongly recommend that you don't drive it too much more before replacing the turbo.
If the shaft in the turbo is okay, it's possible that you have a boost leak. A small split in the rubber hose will make a sound like someone deliberately and slowly letting air out of a party balloon. If that's what you're hearing, check all of your hosing, the intercooler and the EGR tube plus intake manifold for signs of oil - there won't be a lot, but it will look like it's been blown out of a gap (which is the case!). A boost leak means less air going into the motor than expected = richer mixture in the combustion chamber = more black smoke.