The general adhesion of particles on surfaces has three major mechanisms:
Mechanical adhesion
This applies mainly to fine, flying dust particles, often categorized as fine particulate matter (PM2.5, size $\le \pu{2.5 \mu m}$). The particles mechanically connect to surface, the best if the surface has rich surface texture. The connection is not dissimilar to mutual adhesion of solid particles in grainy rocks, with or without softer gluing material. The visible part of cigarette smoke falls in this category.
Adsorption
This applies on gases or vapors of volatile liquids or solids, like the invisible part of smoke, or volatile parts of parfumes. Molecules of these compounds attach to molecules of surface typically by van der Waals intermolecular forces involving interactions of electric charges and/or permanenent/induced or randome electric dipoles. Additionally, there are possible relatively strong intermolecular force of hydrogen bonds.
Absorption
This applies to the same scope of particles as for adsorption, but the solid material has additionally the ability to dissolve such particles within its volume, similarly as water is able to dissolve gases. This happens mostly for nonvolatile liquids of soft, organic solids, leading to higher sorption capacity than adsoption, long retention and slow releasing.
This is also mechanism of long lasting parfumes, where the pleasant fragrances are – after solvent evaporation – still dissolved(absorbed) in the non volatile part of the parfume. The fragrance is then slowly and steadily released, making long lasting effect. Without it, there would be a spike of intense smell, that would relatively quickly disappear.
Traditionally, for the most expensive parfumes, there was often used highly priced ambergris/ambra, a waxy substance found in the digestive system of sperm whales, or randomly stranded on sea shore. Chemically it is a complex mixture, containing high amount of various terpenoids like ambrein, ambroxide and ambrinol. Currently it is rarely used, being replaced by synthetic alternatives.