Photographers love mist and fog. Potentially drab photos are immediately transformed into moody and atmospheric masterpieces by a bit of suspended water vapour. Unfortunately, it's not something you can just turn on, but if you're in the right place at the right time, the results can be stunning.
The still days of autumn and early winter provide the atmospheric conditions and necessary chill. The best light will be found during the blue hour of early morning and evening (often with the added bonus of sunrise/sunset colours), although night-time can be very good for cityscapes. Mornings are generally better if you can drag yourself out of bed in the pre-dawn chill. You're more likely to find still conditions with less dust haze to mar the beautiful pastel hues the sky takes on as the sun emerges.
That's enough. I'm getting all misty-eyed.