Films set in the Middle Ages frequently depict extremely foggy and/or damp and cold locations. Is there any historical evidence to support this idea that the weather was actually like that, or is it just a running gag?
Although Monty Python might not be the best example, I will admit that many movies do depict Medieval settlements as foggy and dreary looking.
The truth is, the weather wouldn't have been much different. Rainy days, sunny days, it all depends on the region.
However, medieval villages would be very smoky due to the fact that every house was heated by burning wood. Even today, many villages in Eastern Europe rely entirely on wood stoves to heat their homes. If there is no wind, the smoke settles on the village giving it a foggy appearance.
Sheltopusik gave a good answer. I'd also like to add that many Medieval movies are set in Medieval England, because most media is Anglocentric. In England, the weather is indeed often rainy and damp.