I do lighting/sound for bands in and around the NYC area, and haze is essential for making the lights, be they scanners, parcans, or LEDs, look good.
However....here's one thing no one has mentioned: ALL mist machines, including water based hazers, CAN and OFTEN WILL set off smoke alarms. Be sure to check with the venue before using. Usually, if the place has good ventilation near/by the stage, or heat sensors rather than particle sensors, you'll be okay.
But if you use the machine and the alarms DO go off, the club owner may try and sack you with the false alarm fine from the Fire department (which is quite expensive). Proceed with caution.