Hair has its origins in the common ancestor of mammals, the synapsids, about 300 million years ago. It is currently unknown at what stage the synapsids acquired mammalian characteristics such as body hair and mammary glands, as the fossils only rarely provide direct evidence for soft tissues.

Skin impression of the belly and lower tail of a pelycosaur, possibly Haptodus shows the basal synapsid stock bore transverse rows of rectangular scutes, similar to those of a modern crocodile, so the age of acquirement of hair logically couldn't have been earlier than ~299 ma, based on the current understanding of the animal's phylogeny.

An exceptionally well-preserved skull of Estemmenosuchus, a therapsid from the Upper Permian, shows smooth, hairless skin with what appears to be glandular depressions,though as a semi-aquatic species it might not have been particularly useful to determine the integument of terrestrial species.

The oldest undisputed known fossils showing unambiguous imprints of hair are the Callovian (late middle Jurassic) Castorocauda and several contemporary haramiyidans, both near-mammal cynodonts, giving the age as no later than ~220 ma based on the modern phylogenetic understanding of these clades.

More recently, studies on terminal Permian Russian coprolites may suggest that non-mammalian synapsids from that era had fur. If this is the case, these are the oldest hair remnants known, showcasing that fur occurred as far back as the latest Paleozoic.

Some modern mammals have a special gland in front of each orbit used to preen the fur, called the harderian gland. Imprints of this structure are found in the skull of the small early mammals like Morganucodon, but not in their cynodont ancestors like Thrinaxodon.

The hairs of the fur in modern animals are all connected to nerves, and so the fur also serves as a transmitter for sensory input. Fur could have evolved from sensory hair (whiskers). The signals from this sensory apparatus is interpreted in the neocortex, a chapter of the brain that expanded markedly in animals like Morganucodon and Hadrocodium.

The more advanced therapsids could have had a combination of naked skin, whiskers, and scutes. A full pelage likely did not evolve until the therapsid-mammal transition. The more advanced, smaller therapsids could have had a combination of hair and scutes, a combination still found in some modern mammals, such as rodents and the opossum.

The high interspecific variability of the size, color, and microstructure of hair often enables the identification of species based on single hair filaments.

In varying degrees most mammals have some skin areas without natural hair. On the human body, glabrous skin is found on the ventral portion of the fingers, palms, soles of feet and lips, which are all parts of the body most closely associated with interacting with the world around us, as are the labia minora and glans penis. There are four main types of mechanoreceptors in the glabrous skin of humans: Pacinian corpuscles, Meissner's corpuscles, Merkel's discs, and Ruffini corpuscles. Read more

Oldest Human Hairs Found in Hyena Dung   Live Science - May 11, 2009
The oldest known human hair belonged to a 9,000-year-old mummy disinterred from an ancient Chilean cemetery. Until now. A recent discovery pushes the record back some 200,000 years. (And the newly discovered strands received a rather less dignified burial.) While excavating in Gladysvale Cave, near Johannesburg, South Africa, a team of researchers discovered an ancient brown-hyena latrine. Upon inspection, hyena coprolites - fossilized dung - appeared to contain uncannily hair-like structures. Lucinda Backwell, a paleontologist in the group, took a sediment block containing several coprolites back to the lab for a closer look. She and a colleague carefully removed forty of the "hairs apparent" from one of the coprolites and subjected half to scanning-electron microscopy. Sure enough, fossilized hairs they were, and five showed remarkably preserved surface scales.