I recently started getting interested in smoked beers. Quite a few years back, Shiner had a seasonal called Smokehouse. I didn't care for it. However, I've recently been intrigued by varieties of smoked saisons, ipas and marzenbiers. What makes a beer smoky? Is the flavor created by casking, adding flavor or part of the brewing process?
To add a bit of detail to the existing answers, the primary method for adding a smoked flavor to beer is by using malts that have been dried over a smoky fire, rather than in a kiln which allows the malt to absorb compounds from the smoke that they then release into the beer during brewing. Some of the oldest smoked beers still produced are German (Rauchbiers) and the malt is dried over beechwood.
Other woods can be used, and you can find malt smoked over oak, cherrywood, and any number of other species. As mentioned in another answer, peat can be used as well and in fact is for Stone's Smoked Porter.
Another method for adding a smoky flavor is to use liquid smoke extract. This is made my cooling and condensing smoke with water, and can be used instead of smoked malt. I'm not aware of commercial brewers who use this method, but it's a way for home brewers who use malt extract instead of dried malt to add smokiness to their beers.
It is certainly possible to make a smoked beer by using a smoked malt at the brewing stage. Excellent information here: Brewing Smoked Beers: Tips from the Pros.
Smoked malts. Start with a normal malt
- put malt in a large metal screen
- COLD smoke for a few hours (if you add heat it will also add color to the malt)
- Let sit for a day or so.
- brew beer with it
- enjoy something not many get to taste, yet alone the possibilities of different woods to use for the smoking make it an unused "5th" beer ingredient.
Woods to use for smoking
- other fruitwoods
- alder (alaskan)
- beechwood (Rauchbeir)
- OAK is usually used raw, added as "barrelling" addition not normally used to smoke malts
NEVER USE EVERGREEN WOOD FOR SMOKING MALT. - PINEY (HOP TERRITORY)
Peat malt is bad stuff- only used for scotch and whiskey mashes. DO NOT USE IT IN BEER unless you want to throw it out.
One source of smokiness unmentioned as of yet is vinvyl-guaiacol production from bacteria metabolism.
The answers already given are more relevant, however there is one important source that has been unmentioned. Although more common in distilling, lactobacillus and other strains of bacteria can attribute flavor to fermentation products. Different strains induce a different, possibly harmful, effect. Focusing on lactobacillus, which is your common bacteria used in cheese making, lactobacillus can introduce more lactic acid into the beer. This anaerobic bacteria is more active either before fermentation has started (either by contamination or inoculation) and after fermentation has ended. More so after fermentation this bacteria has metabolize the autolysis products of yeast. The acids from this bacteria later form into vinvyl-guaiacol, a flavor compound that lends a spicy and smokey note.