Smoke Grenade

Some videos I saw on Youtube, teaches you how to make a smoke grenade.

The recipe basically ignites Potassium Nitrate (Legal to buy, but be cautious if you live in the US. Buying very small amount shouldn't of been a problem) to produce the heat, which burns the sugar and produces the smoke. Baking soda retards the burning process and allows the grenade to sustain smoke production for a period of time.
The smoke is harmless, but not colorless, so be aware of the dye choice since the end product is a mixture of colors.

Also, try not to cook the mixture indoor because the mixture could ignite inside the pan (ie. a spark jumped in). The cooking process is hazardous, although not dangerous if done properly.

Smoke Bomb

Pull Ring Igniter