Well, here's how I do it, using a dark grey (not black) shadow. First, it's a really good idea to use an eyeshadow primer. I use a pale silver, almost w/o color all over my lid, from base to under brow. Then I use a black liner (pencil, not liquid) all along the lash line and into the the very base of the lashes so that you don't see white along there. Use a smudge brush and dip it in the dark grey shadow. Use that to blend the liner into the lid. Don't make it go above the crease, and start on the inner corner of the eye so that the outer corner is darker and thicker, in a triangle pattern(sort of). You can use what is left on the brush to run under the outer corner of the lower lashes (about 1/3 in). It's easier to layer color, so that if you want it darker you just keep adding. Also, tap your smudge brush after you add shadow so that it doesn't sprinkle onto your cheeks. If it does, use a fluffy brush w/ a little translucent powder and sweep it off. Then I add black mascara, sometimes I use a little extra silver to blend right in the crease.
You can do smoky w/ deep browns, navy and plums too. :)