Mists in the paranormal are almost as controversial as orbs. Many investigators contribute the phenomena to water vapor or high humidity, and they are correct. For mists to appear, you do need a high level of moisture in the air, but what I think we are really seeing is how water reacts when it comes into contact with a polarized field.
Now let’s go back to our high school chemistry, everyone knows that water is made up of two hydrogen atoms and one oxygen atom. A water molecule is formed when each hydrogen atom donates its single electron to the oxygen atom forming a covalent bond. This leaves the water molecule polarized, with the hydrogen atoms on one side of the molecule carrying a positive charge, and the oxygen atom on the other side of the molecule carrying a negative charge. This polarity is what gives water its unique properties and makes it the universal solvent.
Now how does this apply to the paranormal? We all know that ghosts generate a magnetic field; this is the reason why most paranormal investigators carry a K-2 Meter. When water bonds to other molecules it does so through hydrogen bonding. This is when the positive hydrogen side of the water molecule aligns itself with the negative side of another molecule. An easy analogy to use when explaining hydrogen bonding is thinking of how the north pole of a magnetic attracts the south pole of another magnetic. This property of hydrogen bonding is the reason why mists are formed.
What I think happens is that the magnetic field given off by a spirit allows the water molecules in the air to align through the property of hydrogen bonding. The stronger the spirit, the greater the magnetic field generated and the more water molecules attracted to the phenomena.
This is why mists are often seen in conditions of high humidity, and could account for why mists seem to have a human form or distinct features. Now, I don't believe that mists should be considered as conclusive proof that a site is haunted. Like all investigations, this conclusion can only be drawn after everything is reviewed and the decision should be based on the preponderance of the evidence gathered.