If you are ever in love, you will sigh a lot. Especially when things are not going so well. When things go well, love is strong. When things fall apart, it wastes away and leaves only a diminishing trail behind it.
Love doesn't always work out the way you want it to...and sometimes it does. Either way, you're likely to have "sighs"--if love doesn't work out, the sighs are mournful and grieving. They are fueled by a broken heart. If love does work out, the sighs are fueled by utter contentment. They are sighs of joy and happiness. In addition, what causes smoke? Fire. When love is at it's greatest, the "fire" burns hotly. When it is fizzling out, the greatest amount of smoke is produced. It's a metaphor--comparing love to fire and what it produces (smoke and sighs).
Love is a smoke rais'd with the fume of sighs
Being purg'd, a fire sparkling in lovers’ eyes;
Being vex'd, a sea nourish'd with loving tears.
What is it else? a madness most discreet,
A choking gall, and a preserving sweet. (I.i.190-191)
Romeo is sad about his lady-love (whom we learn later is the fair Rosaline). Benvolio has been charged by Romeo's father (Montague) to find out the source of Romeo's melancholy. Romeo has been moping about, depressed because his lady has "sworn that she will still live chaste" (217-8), that is, she has refused to marry Romeo or anyone else. This sadness has made him doubt the reality of the world, and, especially of love. He draws a metaphor of smoke and fire, and the products of love. There is fire in the eyes of a lover, and the sighs (from either happiness or longing for the beloved) create the "smoke" -- that is the insubstantial thing that is love. He ends by thinking love is a "madness most discreet" --a choking gall, and a preserving sweet. It is madness, but it is also a horrible torture, and a sweetness that pickles the moment of love and preserves it, like sugar in jam. Essentially Romeo is bewailing his fate, and railing against the cruelties of romantic love.
It is a great simile that love is smoke, (pensive, wandering, passive) and it is fueled by sighs (emotional misgivings). It represents that love will always work out no matter what.