Very true, Juandel. Same goes for the fog texture.
Don’t forget that you can also create your own alphas to position the fog exactly where you want it. Just create a new layer, paint in your fog to fill in around your figure in exactly the way that you want it to, then turn off all other layers and use MRGBZGrabber to snatch the alpha (with autocrop turned off! – I learned that one the hard way). You can then delete the layer and go into the Alpha palette to turn your grab into a texture, which can then be applied to the scene using the Render:Fog palette as Mark shows. I also modify the graph in most everything that I use fog for. The “start” (as Mark put it) is Depth1 and the “end” is Depth2. By tweaking this graph to control the Z axis of the fog and using an alpha to control X and Y, you can easily make certain parts of your scene rise mysteriously from within a haze of fog.
When I’m working with fog, my personal favorite is to use one texture or alpha for the texture modifier and another one entirely for the alpha modifier. The interaction between these two different images can result in very realistic or very stylized effects, depending on what you do. Butterfly LandZcape went for the realism, while Fractal Garden went for the latter (the ghostly mirror image of the background was textured fog).
One last trick that you can do is to bake your layer with the fog applied, then change the fog settings so that you have two separate fogs interacting with each other. Obviously, this is something that is usually best saved for when everything else in the pic is already done and you’re just getting the final render set up.
Fateh al Jelat by Martin is probably the best use of these techniques that I’ve seen yet. Great inspiration!