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It doesn't look as scary the way it's filmed, as the scenery is visible to us spectators' eyes. But yes, base jumping in fog? I wouldn't do it. How can you even walk somewhere when you don't know what you're walking into, never mind jumping recklessly? Fog is scary, fair do's.
I once got stuck in fog on the Horse Shoe Pass, and I know what it was like.
Two words- not good.