After some prompting from Charles Humphrey on his blog and in the XNA forums, I knocked up a quick sample that shows how to do fogging in shaders without using the fixed function render states. You can download the Fogging Sample here.
Thanks, I will update my blog with Jon's code and drop a link to this example.
Thanks again :)
I had to update the sample as there was an error in calculating the camera position. Download it again.
Charles at RandomChaos took the fog sample we released previously and made it pretty, he also has some
Have found out how to do fog in the shader so this means that you can now have fog in your XBox 360 games
Theme design is Mira 2007 by Chris Lotter.