I think Bryan is right. I believe the problems people face with fog are the same as they are with sunrises or sunsets...composition itself.
As Bryan says, sometimes its the effect the fog has on the surroundings that's interesting, not the fog itself. Fog is really nothing more than the obscuring of light...the effect of which limits visibility of the surroundings.
We all get the urge to snap a photo when we see a really interesting phenomena, such as fog or a beautiful sunset. Unfortunately, a beautiful sunset is just another sunset if that's all that's in the picture. You need something else to draw in the viewer...an interesting foreground, something the colors of the sunset interact with, some symmetry or some lines or textures, etc.
As for settings, fog is much like snow...the camera has a hard time determining what a proper exposure should be since it is trying for 18% gray. When you shoot for "proper" exposure according to your in-camera meter, your snow turns out gray or underexposed.
You may have to over-ride your auto settings by shooting in manual or over-expose by a stop or so.
Here's my last "fog" photo...coincidentally taken this last Saturday morning. We've had fog every morning for the last week!
Pentax K20D
1/60 sec, f/11
ISO 100
260mm