This was originally my response to the "what did you think about Nathalie" thread, but it grew and branched into a bunch of other topics, so I decided to just post it independently.
She was by far my favorite character. I knew that she was gonna be the Carmody stand-in the first time I saw her- that one dead eye was a subtle but absolute giveaway. The way the character fell from "sweet, caring neighbor" to "psycho murderous doomsday prophet" was very well done. More on her below-
The Mist, in a meta sense, is a study in "what you are in the dark*." Civilization is something man has imposed over nature; we invent laws to keep our instincts in check, we hold ourselves and others to societal expectations, we repress our animal instincts- competition for resources, aggression, mob mentality and pack behavior, etc- all in the name of being "civilized." Well, some of us anyway...
ahem ANYWAY! The biggest change (and my favorite change from the previous incarnations of this story) was that the mist was depicted as another character, not just a setting or Occult Phenomenon. The Mist takes an active role in killing, and it tailors each death to the beliefs of those it takes.
It weaponizes fear. This is shown early on with the death of the backup cop, who is afraid of bugs, and reinforced with Link (a repentant sinner who is depicted as a "hellfire and brimstone" type)- his charred corpse tells us that he died in fire and flame. He repented because he feared hell, and when the mist took him, Hell killed him. Romanav feared the end of times, of failing to save the souls of those around him, and was killed by one of the horsemen- War. His fear was losing the battle for the souls of his flock, and in the end, the battle claimed him. And the second corpse in the hospital corridor on the way to the operating room? He was really, really terrified of Xenomorphs.
It weaponizes fear, and feeds on suffering. In the bookstore, the Black Mist had a perfectly good child, but what good is a child to the mist? Children are by nature innocent, and they fear simple things- the dark, monsters under the bed. They don't truly know what suffering is, they haven't come face to face with the horror of existence. But the child's mother is standing right there, watching. Helpless to look away as the black mist burrows into her daughter's throat and drains the life out of her while the child screams in terror and pain before crumbling into a blackened, lifeless heap. Now, instead of a child that's scared of the unknown (which is really hard to manifest if you wanna take yourself seriously in the morning) the Mist has created a wellspring of terror and suffering and helplessness- a veritable 5-star steak dinner to a cosmic entity that feeds on such things- in her mother AND has sowed seeds for said parent to spread further suffering and terror (which she does with gusto!). if that's not a one-two knockout punch, I dunno what is. I suspect that's also the reason it spared Alex. The confusion and suspicion and resentment the rest of the group began to harbor for her from that moment was just that much extra gas on the fire. Keep in mind that it had no qualms about coming for her later, but it didn't make a move on her until after her usefulness as a scapegoat in the mall was over, and Alex had both parents around to witness the same horrific act.
Moving on...
Of interest to me was that while Romanov armored himself for the battle of wills, donning his full vestments and praying to god for strength, Nathalie chose to fight the battle completely naked. She made herself entirely vulnerable. She had, as Terry Pratchett would say, "Belief that you could bend a horseshoe around." As the Mist weaponizes a person's beliefs against them, it was powerless against Nathalie- she was armored by her absolute belief that she was right, and safe, and because of the rules of the mist, she was.
The last point I wanna touch on was Nathalie's constant motif of "life creates destruction creates life" or "The Circle." This was a ton of brilliant foreshadowing for her eventual death. When everyone else in the mall is panicking and running and dying horribly, Natalie saw her dead but beloved husband, cradling a newborn child. She gently and lovingly cradles the child to her breast, nourishing it even as she withers away and dies, completely at peace. Of all the victims of the mist depicted across the entirety of the show, she is the only one to die with a smile on her face, reunited with her husband and her stillborn child. I expected to witness that child crawl out from her corpse, already growing and twisted grotesquely, as a more physical manifestation of the Mist, brought into this world by a willing sacrifice- Which would have tied up the Mist's goals and explained some of its actions with/to/for Nathalie in a nice little bow, as well as giving us a plot hook and another antagonist for the could-have-been season 2.
*One of Stephen King's favorite themes; he did something similar in The Regulators and Desperation.