The entire reason for turbo/supercharging/nitrous is to provide more oxygen molecules for a more complete combustion. The cooler air is definitely more dense and is the exact reason for the manufacture of an intercooler (as well as the refrigeration-driven variants).
Coupling turbo/superchargers with intercoolers is just good sense. The act of compressing the air which the turbo/supercharger does causes the air to heat up - and thus there will be less air molecules per unit volume. The intercooler reverses this to a degree - the difference being dependent on the internal/external interface surface area of the intercooler and the temperature differential.
The intercooler relies on getting as much air close to the inner surface of the device as possible, so that heat energy from the air can be absorbed by the metal of the intercooler and then dispersed by the passage of cooler air over the outside. Cooling the outside creates a larger differential and thus greater cooling, so wetting the surface is quite effective (and low cost - you can do this for under $20).
This is the reason why front-mount intercoolers are in front of everything else - so that the coolest air goes where it's needed most. This does cause heat issues with everything behind it - airconditioning and radiator - but those are designed to cope. Adding a mist system will benefit both of these devices too, because they're working on the exact same principle - trying to exchange or transfer heat from the inner liquid/gas to the outside air.
This is the reason why your diesel performs so well in the rain and in the snow. When it's that bloody cold outside, the intercooler can drag the temperature of the charge air (that's the name of the compressed air between the turbo/supercharger and the intake manifold) down dramatically.
As for how it affects combustion, it does it in two ways. A certain amount of diesel is introduced to the chamber and this amount of diesel requires a certain amount of air to combust completely. If it doesn't combust completely (over-fuelling, or "rich") then your power is down (compared to what it could be) and you're blowing black smoke (diesel or petrol, actually - they both work the same in this respect). If you're getting MORE air (running "lean") the fuel will combust completely AND the remaining air is heated rapidly, causing it to expand as well. While this isn't a huge gain in power, there is SOME, plus the bonus of getting every last bit of power out of the fuel used. The drawback is heat. Providing ample air means the fuel will burn better, and hotter. If you design the system to USE that heat - like drive the turbocharger harder - and make it from materials that aren't adversely effected by that heat - then your engine is going to produce more power for its size than comparable engines.
That's probably why the Nissan 2.5L TD produces 140Kw and the new Mazda that produces 147Kw has to be a 3.0L engine - Mazda haven't produced an engine that would run as hot as our Renault-designed Nissan engines. That said, of course, you could probably raise the Mazda's output to much higher proportionally than you could the Nissan, but then what else do you expect from having more cubes!
