According to The Wise Geek "... Surprisingly enough, there is no actual difference between hair and fur. Though unique to mammals, hair and fur are chemically indistinguishable and are made of keratin, giving them the same chemical make-up as skin, feathers, and nails."
"The primary difference between hair and fur, it turns out, is word usage. We generally refer to non-human mammals as having fur, while humans are said to have hair, but there are a few exceptions. When an animal has very coarse or sparse fur, as in the case of a pig or elephant, we usually call it hair. Similarly, a cat or other animal without fur is referred to as "hairless" or even "naked".