Curiosity, peer pressure, and even boredom can all motivate people to start smoking even though they know it is bad for them. Many people also start smoking when they're younger, at which point they don't necessarily realise the gravity of their actions.
Of course, it's no secret that smoking is addictive, but I can tell you from experience, that not only is it an extremely hard habit to kick, but that it's also easy to underestimate how hard it will be to quit. I'd never experienced addiction before, (unless we are counting my chocolate addiction..) and thought I'd be able to stop no problem as soon as I wanted to, but boy was I wrong!
Often, smoking becomes a coping mechanism, and although they know the consequences of smoking are bad, smokers often feel a short lived positive boost when they light up, which can help deal with stress. Of course on the other hand, often the stress is actually caused by the addiction itself, creating a cycle which is hard to break.
Most often, it is the addiction which keeps people smoking despite the risks, and this addiction is not only physical but also mental. But, it can be broken. Hurrah!
Below is a great video which explains why people smoke: