I'm against none of these.
Underage sex is fine, just make sure to wear a sock and realize that things could get complicated(emotions run high, expectations are made, etc etc.).
Underage drinking is fine, in moderation. I usually don't drink except on New Years, and I'll never drink to the point where I'm actually drunk. I just drink for the nice warm fuzzies. My parents actually got me my own bottle of champange for new Years last year, and just let me drink it whenever I wanted. It lasted me like 4 nights, cuz I have control.
Also, I don't think you should drink just to look cool. Try it maybe, but if you don't like it, don't do it.
Smoking... Eh. It's illegal. Not against it, as I know a few people who do it, but I'm not gonna be doin' it. Did it once, had fun, got caught, stopped. It's not too great. If you want to get high, you can always get a temporary high from being choked...(which I actually prefer).