Mist

The Mist attribute within the World settings allows you to add a gradient mist or fog to your scene based on where your camera is facing.  In showing how this works, I'll use a scene generated with the Suicidator City Generator.

At first render without the Mist, I've applied environmental lighting and a very light gray sky color, commensurate with a very over-cast (seemingly) foggy day.  The fog will be added by the mist.

Now enable Mist within the World properties panel. See the image below for a visual explanation of how the mist works.  I typically start with a very low Start value and a very low Depth value, and adjust as necessary till the scene looks correct.

From the diagram below, you can see that the Start is the point from the camera which the mist begins, and the depth is the z-distance in which the fog becomes thicker with respect to the Falloff relationship specified.

The final render with the Mist enabled gives a very nice foggy feeling, almost San Francisco style. There isn't even a need to try to put anything else in the background as the fog seems to absorb it all.