Hmmm. If there is a nuance, it is that smugness, like CocoPop says, is arrogant self-certainty, a self-opinion. Haughtiness involves the way you treat someone else. So technically, I think it's possible to be smug without necessarily being haughty. Hairsplitting.

Smug means pleased with something that one finds worth being pleased about, though others may not necessarily think the same way. Example: He always looks so smug because he thinks that he is a handsome man. Haughty means pleased with what one perceives to be one's social high value, like being snobbish but even more so. A haughty person looks down his/her nose at people he/she considers to be socially or intellectually inferior to him/her (though they may be nothing of the kind.)Think of Posh Spice.

I love the answers above, so I'll just add my thoughts. "Smug" means you are self-satisfied. Do an image search and you'll get the idea very quickly. "Haughty" means you think you are superior. Note that this is straight from the French: haut (up high). You look down your nose at people.

I think "smug" is being very sure of one's reason/ability/correctness/etc, whereas "haughty" has more to do with pride and self-love. I think a great way to examine the difference is to look at their respective antonyms. I would say the opposite of smug is modest, and the opposite of haughty is humble.

"smug' is arrogantly sure of oneself, like someone who hears about a couple divorcing, smiles and says "oh I knew it wouldn't last." "Haughty" is just another word for arrogant, really.