Projection on Water or Fog

For this technique, instead of a static material like cloth, you can use water, haze or another atomized fluid to catch light and provide a semi-transparent screen.

Water Screens

There are two types of water based projection surfaces — either the water is moving upwards or falling downwards. For an upward blast, these rely on a high powered water jet and a special attachment that spreads the water into a large flat half circle screen of water and mist. The size of the screen is limited by physics and the power of the water pump — most companies can generate screens that are in the range of 20–30m wide and about 6–10m high. This mist is then usually hit with rear projection by a high powered projector. This results in a semi transparent screen that can be hidden or revealed at the flip of a switch in the middle of a body of water.
Falling water screens are much more manageable to install indoors. These have a mechanism that just pushes water through spaced out nozzles on the top piece and collects and recycles the water in a basin on the bottom. Some systems are even able to selectively open and close the top nozzles to allow water to fall in different ways.
The effect of water screens is very unique due to the haze of smaller water mist particles causing a halo and giving the 2D image more volume. There is also a textural quality to the water and mist that you should plan on, as it can add some glow and reduce sharpness a bit. Rear projection works best on these screens, so there will be a persistent hotspot behind the content, but this may not impact too much depending on your setup. Front projection is possible, but you run the risk of doubling the image onto other surfaces behind the semi-transparent screen.

Fog Screens/Laminar Flow

These screens rely on a steady controlled flow of haze or water mist to create a thin layer of semitransparent fog that can be rear protected. A series of valves directs the mist into a narrow sheet, and the projected light is refracted off the particles. The haze can be water or oil based.
This technique works best indoors because of minimal air currents and the light contrast needed for the best illusion. Due to physics, this technique is limited by the screen size that can be created. A lot of commercially available screens can only get to something like a 2m by 1.5m size. The width can be extended with multiple mist units, but the height is the primary hindrance since the mist gets less dense after a certain distance from the valves and fans. Also, since this screen is so transparent, the viewer will get a strong hotspot from the projector and the content will shoot right through onto adjacent surfaces. Commercially available units are available, but aren’t cheap — some are almost $20,000 or more. DIY options also exist, but require a lot of materials. Getting the haze production right in a DIY setup is probably going to be the biggest challenge since most fog machines tend to accumulate in an enclosed space rather than dissipate.
There are several artists exploring applications with fog screens as well. Joanie Lemercier's Brume project explores a number of different visual and interactive applications of using a plane of fog as a projection surface.
Joanie Lemercier's Brume project
Mistform Adaptive shape screen
See also:
Leia Display X300 - Fog Screen for projection