Many people think all Scotch whiskies are smoky, but that is not the case. The smoke flavor comes from using malted barley that was traditionally dried over a peat fire. Peat was, at one time, the only practical fuel source for many distilleries. These days it's an optional flavor enhancement. I haven't been able to find any information about what other sources of smoke may be in use.

Here is a lengthy explanation of smokiness.