As a bonus, we are going to learn how we can create and composite a mist pass with Cycles. But to do this, we will need to do a render. So let's do a render with 500 samples:
We will first have to activate the mist pass in the Render Layer tab of the Properties editor. Now we can access the mist settings in the World setting panel. We will set Start to 0 m and Depth to 37 m.
In order to see the mist, we will need to composite it over the render. We will learn more about compositing in further chapters, so don't worry if we don't go deep into the subject right now. In the Node Editor, we will have to switch to the Compositing Node mode (the second button after the material in the header). We will need to check Use Nodes and Backdrop in order to see our changes in real time. As you can see, we already have a RenderLayers node plug in the Composite node (the final output of the image).
In between, we can add a Mix node (press Shift + A and select Color | Mix) and feed...