If you don’t add ice, then the smoothie will likely not have the volume that you want. It also won’t be very cold, unless the other ingredients are chilled or frozen thoroughly beforehand. Also, some recipes require ice to dilute the smoothie recipe, which might be too strong or concentrated otherwise. You can just serve the drink over ice, as long as it isn’t a concentrate like I described above. If you are uncertain about the strength of your blender, this might be the way to go. Of course, you could always go halfway and blend part of the ice into the drink and use the rest as cubes in the glasses when serving.
You can blend some ice in the blender, although this isn’t advisable unless you have a blender with multiple speeds or an ice crusher feature. Also, try not to crowd too much ice into the blender container, as the motor can and will burn out, even in models that claim to have an ice crusher feature. You might have to partially crush the ice in small batches in your blender before mixing the rest of the drink together. You can crush the ice the rest of the way when it is mixed into the drink.
Above all, go slowly and be careful how much ice you use and how large and hard the pieces are. I have actually burned out blenders that have an ice crusher feature before so I know that it is possible to burn out the motor and/or ruin the blades if you try to crush too much ice too quickly. If you do have a problem, it will likely be in the form of a slightly burnt smell coming from the motor, which might signal that it has become overheated or burned out entirely.