Attached Link: http://www.renderosity.com/viewed.ez?galleryid=106563

Sheres with volume textures have always given me the best results. A single large sphere in the background with smaller ones at strategic spots to fill in where needed. The sheres can't be to small or too squished and overlapping them usually causes artifacts where the materials intersect. One of the best of the volume materials to play with is the yellow/brown smog preset (with the colours altered). You can adjust the scale and world/object spacing of that one easily to achieve the desired effect. A lot of trial and error in involved regardless of what material you use. Check the link to see an example, it the best I've managed to produce.