Fur, in the world of computer graphics, is considered among the most difficult things to recreate, both because it's generally quite expensive from a memory management point of view (a single character can easily have millions of hair strands) and also because it can be quite a task to make a believable shader that can work under different light conditions.

Blender is not new to fur creation; the exact goal of the open movie Big Buck Bunny was to add tools for fur creation to the Blender Internal rendering engine, and it did it through a new type of primitive, strands, which have to be enabled in the Particle panel (the Strand render item); strands are very instanced on the particle system, but they can be edited, combed, and tweaked in several ways to obtain the best possible result.

Almost the same concept applies for the Cycles rendering engine; there's no need to enable the Strand render item anymore, because strands are rendered automatically by Cycles when the Hair...