http://www.metoffice.gov.uk/learning/fog/difference-mist-and-fog
They're not 100% interchangeable but I use fog if the 'cloud' is too dense to see through and mist if it only somewhat obscures my vision.
Morning fog in San Francisco vs. the mist in a rain forest
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If i go outside on a foggy day, my vision will not be good but i will stay dry. If i go outside and it is misty, my vision may or may not be very good and i will get a little bit damp(wet).