The World of Mists is supposed to be a planet where, according to the mystic Shree Quack-Quack H'onnka, "the Answer to all of life's Great Questions could all be found," according to Moonshadow. There is a debate on whether it is real or legendary.
H'onnka is one of the two main philosophical figures in that universe, believing that everything in life is meaningful.
Moon and his adoptive father-figure Lord Gaylord spend much time trying to find the World of Mists as part of their discussions of religion and philosophy.
Later, Gaylord seems to die, and then a letter is sent in his name to Moon, saying that he has found H'oonka on Hump-T. Moonshadow, Ira, and Flobidiah arrive and look for Gaylord and H'onnka on this very misty world.
Moon eventually has an existential revelation in a misty cave on this planet, essentially finding the Answer to all of his life's Great Questions. In the original Marvel comic, this revelation is shown only in pictures, with no text, and it is left up to the reader to guess that this is the World of Mists. In the revised ending released through Vertigo, Moon asks whether it is the World of Mists, and while the answer is cryptic, the implication is that Hump-T is in fact the World of Mists.