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Are all the Smiths the same consciousness in several bodies, or does every Smith have an individual consciousness? Because in the second movie Smith said to Morpheus

Go ahead, shoot. The best thing about being me ... there's so many of me.

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It's difficult to say for sure since Smith instances are usually in the same location and perceive the same things. That said, there are some clues that they do not share the same consciousness. For example, Smith occasionally refers to himself and his copies in the first person plural:

We’re here because of you, Mister Anderson, we’re here to take from you what you tried to take from us. Purpose.

The Matrix Reloaded (transcript)

If all the copies shared the same consciousness he would likely use the first person singular ("I") since there would really only be one consciousness.

Perhaps more conclusively, the Smith that assimilated the Oracle asks a question to one of his copies as soon as he assimilates Neo:

Is it over?

The Matrix Revolutions (transcript)

Oracle-Smith would not need to ask such a question if they shared the same consciousness, so they seem to each have their own point of view.

Also, the Smith that assimilated Bane and acts in the real world is very unlikely to share the same consciousness as the Smiths in the Matrix, because how could Bane-Smith share information with the other Smiths when he's not plugged into the Matrix? Thus there is at least one Smith instance that does not share the same consciousness.


The point of Smith's taunt

Go ahead, shoot. The best thing about being me ... there's so many of me.

is simply that Morpheus would have to kill all the Smiths in order to prevent Smith from fighting them. It doesn't really matter if a single Smith dies because there are copies ready to oppose Morpheus and Neo.

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    The Borg are a single hive mind, but they don't refer to themselves in the first person singular. – Remy Lebeau Sep 7 '17 at 4:43
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    @RemyLebeau The point is that Smith doesn't always use the first person singular (e.g. "me", as he does in the quote in the question) so the use of the first person singular doesn't necessarily indicate that the Smith instances have a shared consciousness. Like I said in my answer there's stronger evidence other than that point, and in any case it's difficult to say for sure. – Null Sep 7 '17 at 15:15
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    @RemyLebeau: The borg have no sense of self identity. They are like ants, they only think in terms of the colony. Smith is a computer virus. Which means that his clones are individual entities (carbon copies) of himself, who all choose to work with eachother since they share a common goal (think of it like a buddy cop movie). Though we don't see it happen in the story, there is nothing excluding the possibility that one of the clones decides to go rogue and works with Neo instead. The Borg are incapable of going rogue as long as they are strictly controlled by the hivemind. – Flater Sep 8 '17 at 9:07

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