I’ve cold smoked salmon, which is a lot of fun but rather tedious using my Weber grill. I’ve also hot smoked it, which is much less tedious and has, I thought, similar results. The biggest difference, in my opinion, is how long the final product lasts. Hot smoked tends to be less smokey as well.
Lox refers to a specific method though that doesn’t involve smoke. Lox is salmon cured through the process of having water removed by long exposure to salt and sugar (primarily salt). This, I’ve also done in the refrigerator and had good results. The great thing is you can really affect the flavor of your final product through the addition of some pretty delicate herbal flavors that wont get lost in the flavor of the smoke. I’ve used the recipe and process in the link below and really enjoyed the result. Juniper berries are readily available at The Spice Merchant and you can use dried herbs but fresh is better because of their moisture content.
So that’s Lox, but if you’re also interested in cold smoking I can wax poetic about that too, and send along some resources.