As a person who works in theatre professionally, and is currently working on a show with fog i'd like to correct the interchangability of fog and smoke. In theatre you must have a pyrotechnic's license to do smoke, but need none to do fog. Smoke is generally created by something burning too.

Some asthmatics are sensitive to theatrical fog whereas others are not. It's different depending on the severity of asthma, sensitivity to chemicals, etc. I'm sensitive to it while many of my fellow asthmatic choristers seem completely unaffected. Theatrical fog does seem to make everyone's eyes water when present in dense enough quantities, and it will set off fire and smoke alarms. If you are using theatrical fog in a school, you better be ready to hide the machine real fast when the fire alarm goes off.