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.
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.