I love when I can see the air. More specifically, I love when I can see light scattered by matter in the air. Fog, smoke, and dust can add volume to the air in photos and also help us see depth when other cues may be lacking.
In this photo, I used a very small aperture to increase the focal depth of field. If the air had been perfectly clear, the background would blend into the foreground and the image would be a bit boring. But the morning mist reduces the contrast in the background and really helps displace it from the foreground trees, creating a path for the eyes to follow through the scene.
When I shoot live bands, I try to get lights behind the musicians so they shine almost directly into my lens. The angle of the light tends to react brilliantly with any smoke or fog on stage and gives great shafts of light. Lights behind me will adequately light the scene, but they do little for ambiance.
Of course, sunrise and sunset are excellent times to capture the low rays of light as they pass through trees and architecture: