A lot of You have been talking about using a fog object to simulate the effect of a bright light reflecting off thousands of tiny particles suspended in air (well thats what it is). Here is a sort of short thing You can try to further the effect:
Now comes the fun part: the noise settings can be anything, anyway use numbers that are relativly low, i.e. magnitude .5 and velocity 1.0.
The filter noise is really just an addition to help make the texture appear blochy. Why? Because "the distribution of particles in an area is not perfect throughout the entire area but rather, more highly 'active' in some, although the average of the area is generally the same as other areas", anyway, add the texture and make the Z axis align with the cone (like the previous texture). Then make the "size" larger in the Z direction than in any other. Finally make the amount of noise high to cut up the spheres.
The effect should fade with distance and have the little bloches. The MNTTOP texture should go second not first in the list.
Well, you could always add an empty axis as the parent of Your object and apply the textures to this parent axis. Make sure the "Apply to children" button is activated in all textures and You have a group where the actual beam of light is free to move but the textures will stay fixed in space. Now You can animate Your object through states without touching the parent and the textures will follow world coords, producing the spotlight-in-smoky-room effect You want.
Any fog textures that need to go on the object itself (such as Fog Top, or Ghost) don't need to be mapped to the parent. These could go directly on the cone, since they don't deal with the noise effect, but rather with the fog length of the object. Adding the nebula texture to the parent might look good though.