According to tradition, artificial fog effects were created by dry ice. If dry ice isn’t handled with great caution, its tremendously cold surface temperature can damage bare skin. Don a pair of heavy gloves before picking up a block of dry ice, and never bring it anywhere near your mouth. The heaviness of carbon dioxide makes it a possible breathing hazard as well. You should only use it in well-ventilated areas.
Fortunately, a safer, more reliable solution exists in the form of fog liquid. The liquid form is much more versatile than dry ice, which creates a single fog effect. Liquid can be found online in specialized forms for any desirable application. If you’re working on an independent movie and you need low-lying fog for a scene set in a swamp, there’s a fog for that. Smoke-like fogs for burning building simulations are also popular.