One of the prettiest effects, I think, when photographing nature is to capture an animal standing in their environment when it is misty or foggy. The moisture in the air softens the whole photo. By back-lighting the subject, their silhouette becomes even more abstract yet you still know exactly what you are looking at in the photo.
Yellowstone National Park is a fantastic place to experience this phenomenon as the warm waters from the thermals and rivers often gives off steam in the cold air of winter or cold mornings in spring and fall.
Most places where the temperature drops to freezing or below will experience this type of event. The best time to see it, however, is after a warm day or two.
For example, here in Colorado, we may have a warm streak in November or December that keeps the daytime temperatures in the 50s and 60s. This will warm up the water, especially shallow water that doesn't take as long to warm. Then, after a night when the temperature drops to freezing or lower right after those warm days, be prepared to go out the next morning to find a pond with the mist rising off the surface.
You will be very happy with the results. Just watch the exposure to make sure you don't blow out any highlights or underexpose the photo. The lighting can be tricky because of the darkness. Your camera may also want to focus on the mist or fog rather than your subject. Manual focusing can help solve this issue.