Depends on the flavor and type of cheese. Since cheese is great with fruit, any of the fruit wood such as apple, cherry and pear would be great. Unless your cheese is on the "no flavor or low flavor end of the scale, I'd steer away from using hickory and misquite. Unless you have a very hard cheese, you'll want to "cold smoke the cheese (chamber temp. below 100*. I've read too that if you freeze the cheese first, you can smoke it with a higher temp.
Also check out the sticky in the "Woods for Smoking" forum.