What's wrong when smoke comes into your car? The primary problem is probably that you're still sitting in the car instead of running for your life, or at least going for the nearest fire extinguisher. But all jokes aside, a bit of smoke coming through the ventilation system need not necessarily spell doom for you or your car -- it all depends on what's smoking and where it's coming from.
Identify the Smoke
The first thing you'll need to do is identify the type of smoke, and the best way to do that is by smell. Most people know the scent of burning oil; it smells like an asphalt parking lot on a hot day, roofing tar or driving by a road-paving construction crew. Electrical wiring burns with an incredibly acrid, eye-watering stench. It's one of those smells that, if doesn't make you want to jump out of the car, then it's at least impossible to ignore. Coolant typically has a sickly-sweet kind of smell, enough to turn you off of ice cream for a week.
Smoke Density
Your next clue as to the source of your smoke involves the thickness or density of the smoke. A faint whiff and occasional wisp of oil smoke with the AC blower on low will generally indicate a minor oil leak in the engine compartment. A visible stream of constant smoke tells you that the source is very near the blower or the air intake, or is inside the duct itself. If smoke billows out enough to visibly fill the cabin, then your car's probably on fire. Put it out and sell it to someone you don't like.
Fresh vs. Recycled Air
This test will give you some idea as to whether the source is inside the cabin or outside. Turning the air conditioner to the "vent" setting draws fresh air in from outside, while turning the air on just recycles air already present inside the cabin. This is a particularly useful trick for locating coolant leaks, and figuring out if the smell is coming from your engine bay or heater core. Electrical smoke drawn in through the fresh air vent is probably coming from the engine compartment, perhaps as a result of a wire touching something hot like the exhaust manifold.
Electrical Smells and Fog
If you get an electrical smell -- particularly one with a hot, coppery undertone to it -- with the air on both recycle and vent, you may have a failing blower fan on your hands. If you only smell electrical insulation with the air on recycle, you likely have a wire shorting behind the dashboard. If you've got an odorless "smoke" that only happens with the AC on high, then congratulations -- you've got an AC system that blows cold enough to condense humidity into vapor and blow it in your face.