The thought on colored fog lights runs something like this: White light, made up of all the colors in the light spectrum, refracts through fog in weird and wild ways, lighting up the foggy sky in front of you like a bright, blank screen. But yellow light (with a longer wavelength and high sensitivity by the human eye) refracts in only one way, so while fog continues to make things a little blurry, using yellow light cuts through the fog much better than your manufacturer-issued headlights.
Unfortunately, that's not true. The Ask a Scientist program at the U.S. Department of Energy explains that for a variety of reasons (including the relatively large size of fog droplets when compared with wavelengths of light), the only advantage of yellow fog lights is that they may look better to some people [source: Barrans].
And they have a distinct disadvantage: distracting oncoming drivers. Perhaps you think it's reasonable to draw the attention of drivers behind and around you, but do you really want to distract a driver who's heading straight at you?