Smoke machines are used in everything from
parties to
plays. They work by heating up an element, and then
spraying a specific liquid past it. This
vaporises the liquid, creating a fine, harmless
mist. This is often used in plays to give the effect of a
misty day, and is regularly used in
concerts to create visible beams coming from the lights.
Smoke machines are not to be confused with dry ice machines, which are something else altogether. As far as usage goes, smoke machines should be used when a general mist is required, or a jet coming out from a specific point. Dry ice machines create a low-lying fog which will roll across the floor, rather than filling the entire space.
If you're after any other theatre tech information, then do take a look at 'Everything you ever wanted to know about theatre tech, but were afraid to ask'