Yes, it was confirmed in the episode The Candidate
'The candidate' is the 14th episode from season 6 of Lost, and as of 02.26.10 (when I came across this answer) has not been aired yet.
So I would say officially 'UNKNOWN', although many theorise that the man in black is actually Christian Shephard (Jack's father) and that Locke is the 'Smoke monster'.
- I believe he meant episode 4, "The Substitute", which originally aired on 16 Feb 2010. In this episode we learn for sure that MIB, the entity in the shape of John Locke, is also the smoke monster.