Fog isn't too bad once you get the hang of it. There are a couple problems to be aware of though. Overlapping fogs will cancel each other out wherever they overlap. Fog objects should be closed objects. If you have a tube be sure to close the ends up. And when you scale your object up or down you should be aware that the fog length will not scale with your object, I found this very annoying.
Imagine you have a 100x100x100 cube and you make it a fog object. What does the fog length mean? If you make your fog length 50 units and then move a non-fog object into the fog, once it goes beyond 50 units you won't be able to see it anymore. 50 units is the point at which an object inside the fog will be totally obscured by that fog. If you shorten the length to say 25 then the fog will become more dense. Making the length larger creates a less dense fog. If the length is greater than 100 then you will be able to see objects on the other side of the cube.
Using global fog in the Stage/Action editors is similar but it is applied everywhere, like an infinite plane. You can however control the heights(Z) where the fog begins & ends. So if you wanted fog in a grave yard you could tell it to start at the ground level and end as high as you want, depending upon what your are looking for in your scene. The fog length works the same as with objects. If it is set to 100 units then any object in your scene that is beyond 100 units will be hidden in the fog. For a very subtle fog I sometimes set my length to 2048 or greater, this is very thin.
There is another annoying feature of fogs. It looks great when used for making atmosphere on a planet but it will illuminate the entire planet, no matter where the light source is placed. So you can't get a dark side if you have the fog around the entire planet. You can get around this by using a half sphere fog for the atmosphere and aligning it to your lightsource.