Depending on the kind of atmosphere you use, there are several options. The ones bruno021 mentions adresses to the Spectral atmosphere, which is good and the mainstream nowadays. If you don't need the spectral effects (clouds, godrays, realistic aerial perspective etc.) then you could play with the standard settings, these allow you to make fog with negative fall-off (getting denser upwards) among other things. You can't do that with the spectral or volumetric ones. For that effect with a spectral atmosphere you'll need a low cloud layer or something, and considerable patience upon rendering.
An example (by me) of a standard atmosphere with negative fall-off fog:
http://www.renderosity.com/mod/gallery/index.php?image_id=1983952&user_id=94819&np&np

• Picture of the Day at E-on and displayed in 3DArtist magazine. Just to emphasize that you don't always need the most advanced options to do well :)

Lars "bigbraader"