To get decent fog, make sure to use alpha transparent PNG files.
Some systems might use ghosting, or negative ghosting - and this is an additive effect that adds to the colour. So when you use volumetric particles that rely on ghosting, you end up with black or white when the density is too thick - this doesn't take much.
If you use alpha transparent textures instead, you could have a grey cloud, and layers or volumes of this grey cloud would result in a volumetric grey cloud, as it won't affect the actual colour, but the alpha transparency. You can also change the colour of the particle with this method - as opposed to ghosted particle effects that depend on the diffuse colour. For example, having a particle that starts off bright yellow, fades to orange quickly, then fades to grey as the alpha fades out, would give a cool explosion effect without needing lots of textures.

I am the one who knocks...
