Many things could be considered to be immoral - it just depends upon which sins an investor choses to focus on:
Environmental damage (commodities)
Putting old-style high-street shops out of business (supermarkets)
Exploitation of cheap labour in unhealthy working conditions (many manufacturers and retailers)
Animal research (pharmaceuticals, personal care)
Radiation (power companies)
Unhealthy products (fast food)
Personally, although I don't smoke (and never have), I believe that it is people's free choice.