Fog is created by pumping one of a variety of different glycol or glycol/water mixtures (referred to as fog fluid) into a heat exchanger (essentially a block of metal with a resistance heating element in it) and heating until the fluid vapourizes, creating a thick translucent or opaque cloud. Devices specifically manufactured for this purpose are referred to as a fog machines.
An obsolete method for creating theatrical fog on-stage (although the technique is still commonly used in motion) is to use a device known as a thermal fogger, initially designed for distributing pesticide, which aspirates a petroleum product (typically kerosene or propane), ignites the fuel, and then mixes in air and pesticide to create a dense fog.
For theatrical purposes the pesticide is typically replaced with glycol, glycol/water mixtures, or water.
This technique is similar to the smoke generators used by militaries to create smoke screens, and is generally only used outdoors due to the volume of fog produced and the petroleum fuel required.
Some use liquid Nitrogen.