Digimon Tamers gives us the pink "Digital Field", where many of the early fights take place. In the original Digimon Adventure, Myotismon creates an Ominous Fog that cuts Odaiba off from the rest of the world.
The geography of One Piece gives us the Florian Triangle, an area of ocean covered in Ominous Fog where the number of ships which have vanished is well in the hundreds if not higher. Within it is the Thriller Bark, the gargantuan ship Gecko Moria uses as his base. The trope is slightly inverted in that the fog is actually protecting the victims of Moria, who cannot be exposed to sunlight after he steals their shadows. It's played straight at the end of the arc, which implies that there is indeed something within the fog besides the Thriller Bark that attacks ships.
Science Ninja Team Gatchaman: In an early episode, clouds of ominous fog cover an oceanic area where ships are vanishing. At the beginning of the episode a character tells he does not like that eerie fog and it is crepping him out, and another character scoffs that are silly superstitions and there is nothing to be frightened of... right before they disappear.
The Mist, obviously, being a massive cloud of fog filled with a variety of extradimensional horrors.
Kuchisake-onna is said to roam especially during ominously foggy evenings, looking for helpless victims.
A Wizard of Earthsea. Duny (who later becomes Sparrowhawk) uses a fog control/illusion spell to confuse invaders and save his village.
Brandon Sanderson's Mistborn trilogy features metal-burning magic-users who have a certain affinity with the concealing mists that form from nowhere at nightfall, which commoners fear. When the all-powerful, immortal Lord Ruler is assassinated, the mists begin to emerge during the day, last for weeks, form ghosts, and kill people. Though that was to "snap" the skaa peasants and awaken their magic powers so they could fight in the final battle.
The Mist. Even when the monsters are not attacking, the ever-present fog strongly emphasizes the isolation of the survivors, and the alien nature of the world outside.
Gone with the Wind. After suffering hunger and cold during the Reconstruction, Scarlett has a recurring dream of running through a mist. The dream comes true after Melanie's death, when Scarlett runs home to her mansion in the hopes of reconciling with Rhett. Rhett winds up leaving her. Ominous, indeed.
In the Old Kingdom trilogy, fog can be a cover for Dead, for whom light is dangerous.
The Tales From Camp Crystal Lake series of books by Eric Morse [[note]Mother's Day, Jason's Curse, The Carnival, and Road Trip[[/note]] all feature a yellow fog which seems to make everyone feel more negatively, lubricating the lethal intentions of whomever finds the hockey mask as well as the Final Girl.
Silent Hill, with fog originally added to hide the graphical limitations of the Playstation, is one of the more obvious examples, and eventually grew up to become one of the central parts of the atmosphere; in fact, Silent Hill 2 for PC would never run on a GeForce 4 MX card, because the fog was just so goddamn detailed. Makes the gameplay bad and scary, shows that the setting is bad and scary, and is also caused by the town's bad scariness.
Pokemon Diamond And Pearl introduced the fog atmosphere—it lowered your accuracy in battle. The HM Defog could get rid of it, but with a bit of trial and error it's possible to find your way through without the practically useless move. The first Pokemon game to use this trope was R/S/E, in Mt Pyre
Sand of Neverwinter Nights 2, upon seeing one of these, declares: "I suppose this is the 'impending' part of our impending doom."
In Fire Emblem, sometimes the mountain-based stages are covered in fog that drastically reduces your party's chance to freely go through *and* hides enemies from you. You either bring a Thief into the party, get some Torches, or use the Torch staff to solve the problem.
In Persona 4, murders occur when the fog is heaviest. In the latter parts of the game, it never goes away. The game is centered around finding the truth in the fog, which means finding the true culprit and bringing them to justice (although if you look deep into the game's philosophy and symbolism, it's a lot more than that). Also, the fog is used as a symbol of what humanity desires (in the eyes of Izanami)- hope, despair and emptiness.
Indie PC horror game The Path features ominous fog when you get near the lake in the woods.
In Demons Souls, an ominous fog is what caused Boletaria to be overrun with monsters. In-game, harder sections of the dungeons are marked by walls of fog. If you see one in a large passageway, a Boss Battle awaits you on the other side.
In Alan Wake, you spend most of the game running through (natural) fog shrouded forests. Every so often though, the wind will pick up and the fog turns pitch black. From a story perspective, it indicates the Dark Presence is nearby, while from a gameplay perspective it indicates that you're about to be swamped by the Taken. Both are pretty effective at upping the tension.
Echo Night: Beyond featured fog that made the ghosts you were trying to help very hostile, forcing you to try and find ways to avoid or clear it out.
In Alice: Madness Returns, there is an ominous fog in the Hyde Park sequence. To get out the player must follow the lamps, and besides their light there is nothing but the fog and the darkness.
Avatar The Last Airbender: Katara can whistle up fog at a moment's notice, for cover or spooky effects. Fog rolling in inland is ominous to those who don't know a waterbender's about. Also parodied in a dream Aang had: he makes a dramatic entrance by kicking in the door, snaps his fingers, and fog rolls in.
The Simpsons parodies ominous fog in the Treehouse of Horror short featuring werewolf Flanders. "Guess I forgot to put the fog lights in!" Also, the other Treehouse Of Horror short with the fog that turned people inside out featured ominous fog.
Justified in the Scooby-Doo, Where Are You? episode "Go Away, Ghost Ship," in that the mysterious fog that always accompanies the "ghostly" Redbeard's pirate ship is produced by dumping blocks of dry ice into the water.