the contrast on the fur is great and the wispy trails of smoke are definitely a nice touch that gives it the ethereal feel I think you were going for...
I agree about the tail though. It looks a bit too timid for a picture like this and reminds me a bit of a horse's tail. I'm not too familiar with photo manipulations but would it be possible to have it appear shorter and closer to its left hind leg instead of hanging low between its legs?