I did some experimentation with Fur Shading. Nothing advanced, not even a pixel shader involved.
It is basically just a texture with a noisy alpha channel drawn in sereval layers with diffrent alpha-testing for each layer. To simulate self-shadowing I fade the deeper layers to black.
Also, the lighting needs to use the normal of the induvidual _hairs_, wich is (more or less) perpendicular to the surface normal.