Mine does that sometimes if it's cold out. I think it's just condensation/steam. Unless you're running a brand-spankin' new exhaust, and if the smoke is coming from the surface of the pipe, in which case it's probably just that WD-40 type of oil they sometimes put on exhaust parts before shipping to help prevent corrosion while it's sitting in the warehouse or going through the mail. (My whole exhaust was smoking like mad for a couple of hours after I first bolted it all up.)
It's nothing to really be worried about, unless you smell antifreeze in there (which would probably indicate a leaky head gasket).