Yeah, fog in this game is probably one of the only visual complaints that I have. Not just in how suddenly it appears/disappears, but also how heavy it is. There have been scenarios where the fog is so bad, that I can't see my hand. I lose all orientation, like wearing a blindfold in a dark room.
The worst fog location is near the waterfalls by the poison swamp. At some times of the day, the fog gets absolutely ridiculous.
I've actually created a train along the base of the waterfall there, and it's really stupid looking when you ride it, because you see the fog rise up out of the swamp when you get to a certain height, and then instantly fall down again when you move out of that height.