Mist is a term used to refer to a phenomenon on the world of Scadrial. While it does indeed resemble ordinary mist it exhibits many unusual properties.
Composition
The Mist is a gaseous manifestation of Preservation's power similar to both the liquid in the Well of Ascension and the beads of Lerasium. The Mist is far less dense than the liquid as such is more limited in what can be done with it than the liquid. Where the liquid can be used to do great things from moving planets to changing or creating living creatures the Mist seems to only be able to function as fuel for allomancy.
Pre-Ascension
The Mists are the basis for the phenomenon known as the Deepness during Pre-Ascension times that The Lord Ruler defeated.
Post-Ascension
The Mists during the Lord Rulers reign appeared every night time Providing a dense fog that obscures everything. They act in a different fashion than normal fog and never appeared during the day time. The Mists will disperse soon after entering a structure or tent wafting in with misty tendrils then dissipating. The Skaa fearing the Mists and the Mistwraiths Stayed in doors at night time and only went out into the mist when absolutely necessary.
Interactions
It will react to any Allomancer, swirling around him or her. The mists can be pierced by an Allomancer burning tin to reveal the stars above. In special circumstances Allomancers have been known to draw on the mists for power, using them as fuel for Allomancy even after their ingested metals have all been burned.
The mists will not enter any building and even a simple tent is enough to keep them out.
Mist will reject anyone pierced by a Hemalurgic spike.
After the Final Ascension, there are two types of mists, one representing Ruin (a darker mist) and other Preservation. Where the mists are, Harmony can more directly influence things.[1]