Traditionally White Sage
is the main ingredient in a Smudge Stick. Personally I prefer to make my own with Red Sage
that comes from a garden of a friend of mine and has a particularly strong resiny sap that gives off a strong and effective smoke when dried and tied into a long smudge stick. Particularly when working with Goddesses such as Hecate and Artemis or doing a cleansing ritual with the Nornir.
The site Lisa commented on re the smoke is quite correct, so make sure everyone is clear and all pets are out of the area before doing it. Do be careful and check what sage you are burning as some types of sage can be highly hallucinogenic!!