There are two main theories- natural selection- men developed a preference for less hairy women so the more hairy ones died out- the same may apply for women preferring men as well. The other theory was parasites. Humans preferred their partner to be less infected with lice and the like so chose the less hairier person who therefore harboured less passengers! Possibly a combination of both?
Women have always cared more about their appearance than men. Therefore adorned themselves with more clothing (animal skins etc.) than men, which meant less reliance on body hair to keep warm.
On the other hand, men have traditionally sported headgear, to hide their unruly mops, which is why men go bald.
I think the answer is quite easy. If hair from men's bodies has gradually removed where has it still remained. On the head of course. Where is the area where most heat is lost. The head!
It might be something to do with levels of testosterone and other hormones that men have more of than women. Not entirely sure about this theory though