LOST: Dave = monster
In their post-finale podcast, Lost executive producers Damon Lindelof and Carlton Cuse suggest that we have seen the smoke monster recently... but just didn't know it.
I nominate Hurley's imaginary friend Dave as the most likely suspect (and, by extension, Jack's father, Locke's mother, and maybe even Kate's horse). The smoke monster is obviously able to "read" people's pasts (as it does during its encounter with Eko), and I think it's conceivable it could take on other forms which are either visible to only one character (like Dave) or to one or more (like Kate's horse).
Mind you -- they could just be blowing smoke up our collective you know what.