Bill's suggestion is marvellous if you want/need to render all in one go.  As I'd never thought of that solution, I've just tried it - the attached render took less than three minutes just now on a 5 year old Quad Core system, so I can vouch for Bill's assertion that it's cost-free; not an ideal scene to demo fog with but I happened to have it loaded as I was browsing.

For me, I usually go down the ZDepth render/postwork route as the amount of fog or haze is then easily adjusted, plus the ZDepth render is essential for masking and other 3D effects like depth of field.

My self-build system - Vista 64 on a Kingston 240GB SSD, Asus P5Q Pro MB, Quad 6600 CPU, 8 Gb Geil Black Dragon Ram, CoolerMaster HAF932 full tower chassis, EVGA Geforce GTX 750Ti Superclocked 2 Gb, Coolermaster V8 CPU aircooler, Enermax 600W Modular PSU, 240Gb SSD, 2Tb HDD storage, 28" LCD monitor, and more red LEDs than a grown man really needs.....I built it in 2008 and can't afford a new one, yet.....!

My Software - Poser Pro 2012, Photoshop, Bryce 6 and Borderlands......"Catch a  r--i---d-----e-----!"