Cardinals have been meeting for a second day to choose a successor to Pope Benedict, who resigned last month.
The 115 electors are shut off in the Sistine Chapel and a nearby residence until two-thirds agree on a leader for the world's 1.2 billion Catholics.
Further votes will be held on Wednesday afternoon.
A panorama of multi-coloured umbrellas massed on St Peter's Square on Wednesday morning as pilgrims braved tempestuous conditions to take up their smoke-watch vigil.
The faithful huddled in their plastic ponchos - it's been a bumper time for street-hawkers selling plastic sheets and cheap brollies.
Eyes darted between the rust-coloured chimney stack on the Sistine Chapel and the big screens dotted around the square.
Some carrying bedraggled national flags were backing their country's favourites. Some were praying for peace and unity in the Church.
Others still just wished the cardinals would clear out of the Sistine Chapel so they could get a glimpse of Michelangelo's Last Judgement.
The good news: After a third round of voting, smoke billowed from the chimney at 11:38 (10:38 GMT). The bad news: It was black. No Pope. Veteran Vatican watchers urge patience. For chimney-watchers on the square, the vigil goes on.
The cardinals will vote four times daily until a single candidate garners a two-thirds majority.
A successful vote would immediately be followed by white smoke and, soon afterwards, the Latin announcement "Habemus Papam" - we have a Pope.
Before the conclave began there was no clear frontrunner to replace Benedict XVI.
The 85-year-old stepped down last month, saying he was no longer strong enough to lead the Church, which is beset by problems ranging from a worldwide scandal over child sex abuse to allegations of corruption at the Vatican Bank.'Perfectly normal'
Voting takes place in silence, with no formal debate, until a decision is reached. If that does not happen after three days, there may be a pause for prayer and informal discussion for a maximum of one day.
Crowds waiting for a result once again braved rainy conditions in St Peter's Square to watch out for smoke issuing from the chimney.
After lunch, the cardinals will return to the Sistine Chapel to resume their deliberations.
Two US students who were in St Peter's Square described seeing the black smoke
Vatican spokesman Federico Lombardi said it was "perfectly normal" for there to be no result at this stage of the conclave, and not a sign of division among the cardinals.
He said he had been "surprised" by the number of people who turned out in St Peter's Square to watch the first smoke on Tuesday night, and said the crowds would surely grow as suspense mounted.
"We are living a beautiful and intense moment," Fr Lombardi said.
He added that Benedict - now Pope emeritus - was "doing well" and following the ceremony "with great interest".
Smoke from the Sistine Chapel
Two stoves, one to burn ballot papers, one to send out black or white smoke
First stove is cast iron, used in six previous conclaves
Second stove is electronic device, which can be fitted with cartridges to produce the appropriate smoke
Brought in to produce unmistakeable signal after confusion over smoke colour at previous conclaves
Cartridge, measuring 25x15x7 cm, releases five flares over seven minutes
Colour of smoke depends on chemicals in the cartridge
To produce black smoke: potassium perchlorate; anthracene; sulphur
To produce white smoke: potassium chloride; lactose; chloroform
Source: Vatican spokesman Thomas Rosica
The secrecy of the conclave means we have no idea who has done well or badly in the early rounds of voting, the BBC's James Robbins in Rome says.
But there could come a point after several days when the cardinals share a fear that indecision could be interpreted by the outside world as evidence of profound division, he adds.
In 2005 it took four votes for Cardinal Joseph Ratzinger - the future Benedict XVI - to be elected Pope.
But he was a clear favourite before the conclave began, and the long illness of his predecessor, John Paul II, meant cardinals had plenty of time to prepare and consider who they wanted to lead the Church.
This time, speculation has focused on three contenders: Angelo Scola of Italy, Brazilian Odilo Scherer and Marc Ouellet of Canada.
But some analysts argue that Benedict's surprise abdication - the first by a Pope in six centuries - could be followed by an equally unusual outcome, with an outsider emerging as a compromise candidate.
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Ponchos and prayers - pilgrims keep chimney-stack vigil on St Peter's Square. http://t.co/Gs7x41cHiR #Conclave@hirstmike2 mins ago
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Following #Conclave presser for the BBC, language sections from Europe (Cymru!), Latam, Africa and BBC Arabic.http://t.co/3enDklAIXv@hirstmike1 hour ago
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