If you've ever played laser tag, they often have smoke machines in the arena.
The smoke machines put out smoke which allows the "laser" shots to be seen, so you know where you're aiming. if there were no smoke, you couldn't see any lasers.
same goes for flash/light sources.
Window of Hope on Flickr - Photo Sharing!
For example, that photo was taken on a foggy night. the fog in the air helps so we can see the beams coming from a light source. it gives the light something to bounce off of and be seen by our eye.
If you're trying for a similar effect, you might try smoke (from a machine, steam, dry ice, cigarettes, etc, but as always, be careful) or dust, as someone else mentioned.