To be fair an LED (or several) going pop due to excess current could smell a bit off and make a bit of smoke (or indeed even the current limiting resistors going could do this).
I would be inclined to say the PSU has gone, it's not outside the realms of possibility for something like a smoothing capacitor to go and the PSU to still work (albeit not as well as before) . Also capacitors tend to make more smoke/noise than other components when they go.
If this is the case you have to hope that running the PC on a PSU with a gone component hasn't damaged anything else in the system...
I would be inclined to say the PSU has gone, it's not outside the realms of possibility for something like a smoothing capacitor to go and the PSU to still work (albeit not as well as before) . Also capacitors tend to make more smoke/noise than other components when they go.
If this is the case you have to hope that running the PC on a PSU with a gone component hasn't damaged anything else in the system...