From what i can gather there is no way of destroying the mists, except possibly by destroying the entire demiplane. However, given that no gods have done anything despite being cut off from any worshippers they might have who end up there it seems like a rather epic feat to destroy Ravenloft. Escape on the other hand is possible, just really, really hard. Like Void said Lord Soth escaped and several other darklords managed to leave the demiplane for shorter periods. I also know that the entire focus of the earlier versions of the Demiplane of Dread was escaping the place so it is very definitely part of the setting that escape is possible. The means are of course left up to the GM.

In the Kargatane's version of the setting published for 3.0 and 3.5 escape is not the focus, however, nor is it about killing the local darklord. Instead it is about the demiplane as a self-contained world and about being heroes who try to make a difference in a hostile world, even if you can never end the flood of evil. I personally love the Kargatane version of the setting, but i know that some people feel it is betraying the roots of what Ravenloft is.