By "smooth" do you mean you wish to reduce the number of triangles? For cones you may try playing with PlotPoints:
PlotPoints
ParametricPlot3D[{z Cos[t], z Sin[t], z}, {z, 0, 1}, {t, 0, 2 Pi}, PlotPoints -> {2, 30}, Mesh -> All, PlotStyle -> FaceForm[]]
Mathematica surface graphics are discretized. They will never be smooth in the sense of infinite differentiability.
By smooth I meant a function or surface that is infinitely differentiable, i.e. has continuous derivatives of all orders. In the case of a cone, however, this only applies from the tip.
