I forget what it was in the first game. I know the fog was fog, but I don't remember if the stuff falling was ash or snow or what... In the movie, though, it was ash from the coal fires.
EDIT: I'm bored... what was the best/scariest part out of all the games for you? The cat in the first SH sacred the crap out of me, but I'd heard about it before then; the dog jumping at me from nowhere the first time I played, though, made me piss myself x-x