Everyone loves a good smokey eye... and everyone seems to be searching for better ways to do them. Here are some of my thoughts that hopefully will be helpful.
What is it?
First off, what is a smokey eye? Generally speaking, it's a dark eye shadow on the eyelid whereas regular application would be a medium or light shadow. It usually evokes a vamp look. Essentially, your eye will look like there's smoke around it... hence smokey. ;)
Note that, if you're not used to doing this kind of makeup, it might take some getting used to, not so much in how to apply but more in getting used to the look on your face.
Alternative to black
When we say smokey eye, people will generally think of applying black. And while that's a good choice for it, there are other alternatives that may work best, especially if you have pale skin (I know all about that). Really, it just needs to be a darker eye shadow. So consider playing with other colors like dark blue, dark green, dark brown. It will open up a whole new set of possibilities and may actually look better depending on what you are wearing as well as your eye color. For example, I have blue eyes and, when I use a dark blue, it makes my eyes look paler (sort of icy blue) whereas, when I use a dark brown, it makes them look more intense.
If you're going to use black...
If you are going to use black, consider going for anything but a matte finish. The reason for this is that matte will make your eye look like it's receding, especially if you will be using this for a stage makeup under bright spotlights. My favorite black to use for a smokey eye has gold sparkles in it and it makes for a very nice shimmery effect. So it's still undeniably black but has a nice richness to it.
Whenever you apply a dark color all over your eyelid, there will be more fallout than a medium or light color... or so it seems b/c of the intensity of the color. There are several options to take care of this. One way is to wipe the fallout with a soft fluffy brush, using a light touch. DO NOT USE YOUR FINGERS! It would only embed the dark eye shadow more in your skin. Another option is to apply more loose powder after your eye shadow application, which is a similar principle as just wiping it off with the brush. You also can simply apply your foundation after you have done your eyes: it will simply erase any trace of fallout.
Don't forget the brow bone highlight!
Since you will be using such dark eye shadows, definitely remember to apply a pale, shimmery eye shadow at your brow bone to create a nice highlight. It will take your eye from looking closed to opening it back up again. It's like magic!
What about the crease?
That was something that bugged me for a bit: what do you do with the crease? Well, I do either of two things: either I will bring that dark eye shadow in the crease as well, generally using a lighter touch when applying so it sort of feathers out or I will use a medium eye shadow to have a gradient of color. Typically, I do the former if I use black whereas I'll do the latter if I use a different color. But it depends on my mood too. Just experiment and see if you prefer one or the other option.
I still line the upper and lower eyelids (usually on the waterline for the lower lid) with a black liner, even if I use black. It just makes for a nicer finish as generally the eyeliner will be a more intense black. But you could skip the eyeliner as it's dark enough as it is.
Another option entirely
If you don't like using dark eye shadows on your eyes because you don't like the look or you want to keep your eye looking open, there is another option entirely. One of my favorite makeup looks that looks like a smokey eye and isn't exactly one is the one in the below picture. I applied a silver eye shadow on the eyelid and black at the crease but I made my crease bigger/more prominent than I normally do, which is yielding this smokey eye look (you can see the instructions for this makeup here). Essentially, this could be done with whichever shadow combination you want, just making sure you have a dark shadow at the crease and making said crease more prominent.