The atmosphere we breath isn't totally clean, there are little bit of dust and alike floating around in it. If a mountain is really 10 miles away then there will be some atmospheric distortion between you and it. The mountain will look slightly less detailed with slightly less color definition. This Falcon 4 screen shot shows haze being used on the horizon. A variation of haze is fog, which is the same as haze only closer to and more opaque.
Some games simulate darkness by using black fog.
Fogging is also a convenient way of introducing objects into the immediate location of the player within a game. Without fogging, in racing games like Motorhead, the surrounding world would have to be rendering to the horizon which would be very CPU consuming or have objects simply pop into existence when you got close to them.