Cold smoking's a great starting point, particularly with a csg:
http://www.macsbbq.co.uk/Coldsmoking%20Shop.html
This bit of kit is superb, I just love it. I know I sound OTT, but as someone who tried cold smoking for long periods on a small scale, before this was available - spending hours sat outside 'freezing my bits off' with iffy smokers, I can assure you that it's £30 well spent - as no doubt can many other members.
What I call 'roast smoking' is also easy. You can buy kit to do this:
http://www.hotsmoked.co.uk/http-//www-h ... cat_6.html
...but it's easy to make your own from a
couple of cheap roasting tins, or a
lidded wok.
What I think of as true hot smoking needs a bit more kit (or ingenuity) - you need to be able to maintain very low cooking temps over fairly long periods. This enables sausages, luncheon meats etc to be smoke-cooked without the fat running. It ain't rocket science though! It's just a box with a heat source!
...and then, of course, there's the whole world of US BBQ. I leave that to those better qualified to speak about it than I am.
Phil