Blenders Mist:

Mist does a very good job of providing a uniform haze dependent on the distance from the camera. It will not let you do patches of mist however for that you need another trick.

Basic Mist:

Add a new World. (World buttons->Add New) world settings
Click the Mist Button and Set the Sta and Di mist settings
Here are the results(I played with the colors a little) city with mist

Things to try:

  • Play with the world settings Specifically notice how the various color fields affect your mist.
  • Load an image map as a texture in the World settings(You will probably want to use some of the alpha tricks talked about later in the tutorial)
  • Try using key-frames on some of the world settings.