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Smoke monster appears as MIB, Christian Shepherd, Yemi, MIB, Kate's horse & Alex.

Whether or not Christian Shepherd is the Smoke Monster is whether MIB was 'locked' into the form of Locke (as Illana suggested in "The Substitute") in "Namaste".

In the 'Christian Shepherd' article on Lostpedia, this is what's written:

"Christian is, along with Locke, Yemi and Alex, someone who is deceased but continues to appear on the Island. A few of Yemi's appearances were confirmed to be influenced by the Monster in the Official LOST Podcast (March 21, 2008 Edition), however, Christian was confirmed as being one of three characters (Yemi and Kate's horse being the other two) to be classified as "undead". Alex similarly died on the Island and later appeared as a manifestation of the Monster. Ben's mother died off of the Island, but has also appeared on the Island. "