Let me take a stab at this. I think the difference might be the “immediate results” effect. Kids can see the results of irresponsible sex, in that they see girls getting pregnant, STDs, and even HIV. Kids can also see the results of their friends being drunk and stoned: they get stupid and do stupid things. There are no immediate negative outcomes of smoking. Teenagers’ brain development is not complete, and often they are unable to foresee the long-term consequences of their actions if their is not an immediate signal. The immediate results effect, to a certain, limited extent, compensates for that.
I appreciate your contribution to this discussion. But the "immediate results" factor really doesn't apply to sex, either. The kids have been told that if they use condoms, nothing's going to happen, and besides (kids being kids) bad stuff happens to someone else. I doubt that outside of the inner cities, many kids have seen a fellow high schooler get HIV. Pregnant, yes, but that seems to have little deterrent value for boys, especially in a society that has free and easy abortion.
As for seeing the negative effects of alcohol and drugs, I'm sure that most think somebody acting plotzed is kind of funny. It gets negative only when somebody dies in an auto accident where intoxicants are identified as a factor.
I still believe the rebellion factor is quite strong with kids when they see the abstenance messages, and that's why they are of limited effect with young people, especially those who have no strong parental figures who reinforce the message.