I somewhat disagree with Ota Otaria.
"Jump in to the Fog" is the realization that life shouldn't be governed by strict rules and conservative decisions, from my perspective. Enjoy the unknown. Maybe even more existential is the idea that, life being as fragile as it is, you still live it to the extreme and hope the hand your dealt is a good one (your hand in life -- let someone else's legs break or brains smash).
In my opinion, the first verse isn't about a dating couple going to an ambiguous place. He's clearly taking a dirty hooker and banging her in a dirty, pay-by-the-hour hotel. In the chorus, he wants to "shake the foundations of his average day" by doing something crazy. He feels dead inside (maybe at his office job or whatever), so he jumps into the unknown and subsequently feels alive.
The second verse, to me, is partly a reference to religion, or any such controlling ideology, and the ridiculous ideas of sexual conservatism. He's saying that he's happy to have found someone willing to give it up so easily, even if it's frowned upon. For every ladder, there's a snake waiting around the corner. But fuck it. Do it anyway.
The bridge describes his mistakes, obviously, and that there's some regret, but that life's more fun this way. Pretty simple.
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