Susana Leyva took video of steam coming off of Chicago's Lake Michigan this morning. The fog formed a virtual wall around the water.
Why this is happening: Steam can come off the lakes when the water — or the ice — is warmer than the cold air above it.
The National Aeronautics and Space Administration explains it like this: "As cold, dry air moved over the lakes, it mixed with warmer, moister air rising off the lake surfaces, transforming the water vapor into fog — a phenomenon known as steam fog."
Take a look: