Most hard cheeses are good for smoking. A good medium or mature cheddar is great and even some of the extra mature cheddars - so long as they are not too strong. You need to balance the flavour of the cheese and the smoke and if you smoke a strongly flavoured cheese (like a stilton) you will find the smoke flavour competes with the cheese flavour rather than compliments it.
As a rule of thumb, the softer the cheese the less suitable they are for smoking. I would not try to smoke cottage cheese however fresh mozzarella and Brie or Camembert can smoke well. The softer the cheese though the quicker they will need to be eaten.
When smoking cheeses with a rind (e.g. Brie) you should first prick the rind all over with a toothpick to help the smoke penetration.
When you select a cheese to smoke take a look at the date that is on the cheese packet. Smoking will add flavour but will not extend the shelf life. If there is a "Use By" date or equivalent (UK labelling) then that should be heeded and if there is a "Best Before" date (UK labelling) then it will still be best before that date. If you keep cheeses beyond these dates (as many people do on the forum here) then you will need to use your own judgement as to its suitability to eat. Once smoked it will keep longer if it is vacuum packed and, once it has had time for the flavours to mellow, smoked cheese will also freeze well.
Waitrose just had offers on Wookey Hole Cave Aged Cheddar and Cornish Quartz Cheddar so I smoked a couple of kilos of each last week. I have not tried to smoke either before but initial tastings appear to be very promising.