Though call - that's why brewing a nice cup of tea (or equivalent) to think things through is such excellent advice, at more than one level. It gives yourself a clear head and time to think through what actually can be a life or death decision.
Now that's great advice! I always carry the means to boil up a nice cup of tea. Stop, brew, and think can make a real difference when you are confused or foggy.
About the only times I have had to seriously use a compass have been times when I was enshrouded in fog and most of those have been on San Miguel Island, the motherland of fog here in SoCal. It is a really interesting experience to cover terrain you have walked many times in clear weather in a thick pea soup - it is a whole new ball game. A GPS really comes in handy, if you have marked the proper waypoints. Trust me, it is real fun looking for a white SUV in fog.
Even in summer fog, you can be susceptible to hypothermia, especially if you are immobilized without adequate clothing or shelter, particularly if you also have a nice breeze.
Another adverse effect of fog is the wetting of rocks and soil, making your footing a bit more unreliable. Stumble and tweak an ankle, and you will begin a descending spiral...