Magma mist is the toxic yellow mist created when debris from a cave-in splashes into magma, but, unlike water, not when a magma falls down a Z-level. It is presumably as deadly as the magma it comes from, and in earlier versions would instantly kill most creatures who breathed it in. Luckily, it generally disappears quickly, as not much will usually be produced; cave-ins only cause a small amount of it. It is unknown whether or not it is deadly as of version 0.31.01.Verify As with everything else having to do with magma, a high level of caution should be exercised to avoid unintentional fun.
 Preventative Measures
If you are being careful around magma, it isn't very likely that you'll run into magma mist at all, let alone have to worry about your dwarves breathing it in. The simplest thing you can do to prevent it is to watch out when dealing with mining above magma, or channeling above magma in particular.