The marketing guru's have this one to themselves I think.
It's all about image. Everywhere you look around, you see people smoking right? I'm sure it all started because of image, and the pop-culture surrounding smoking (which may not apply so much these days). Back in the day, it was seen as pretty cool to be smoking; the coolest kids in school would be smoking; funny how those same people, we sometimes the one's rebelling against something.
Nowadays though, the culture of smoking is ingrained in society. Our parents grew up with smoking, because their parents probably smoked too, and their parents smoked as well, and so forth. And since the majority of us, look up to our parents, we see them doing something, then, we think, well we want to do it as well. Case of monkey see, monkey do - I mean, who doesn't want to look cool? (And don't say you don't want to be, because every subset of society has a bit of coolness to it; you might just not be able to see it).
But Xenophobia is correct. Apparently the nicotine in cigarettes speed up your metabolism slightly. But that only explains why you would still continue to smoke; that and the fact that like all other drugs, they're addictive in someway (all drugs have varying levels of addictiveness).
Now, I know that smoking is a bad thing; medical reports linking it to illnesses and everything. But I suppose it's like drinking alcohol. Although the effects might not be so apparent (you can get illnesses), and the second-hand effects may not be so potent, it's still the same thing. I guess a non drinker could ask someone that does drink, why do they do it? Do they WANT to ... (insert something here).
We all do something for a reason, and it might not make sense to others until we're in their situation.
Having said that, I'm not a smoker, so I'm not having a go at anyone for smoking, nor am I a drinker. Though I do eat a lot... =D