In Biology this morning we talked about the evolution of primates. When he showed a slide of all the different groups including humans, I found it quite striking that humans look very different from the other primates - not only in the way we stand up straight on two feet, but the obvious lack of fur all over our bodies. We do have fine hair on the arms and legs and torso (thicker in males), but what kind of evolutionary advantage could there have possibly been to make us loser our fur? That doesn't make sense to me. I asked my professor and he said we don't know. We don't know when it happened or why. They think a lot of other Homo species retained their fur for quite a while but we just don't know. Just as there is preservational bias with dinosaurs (finding soft tissues, feathers, etc, is rare because they break down and aren't preserved in the rocks), the same is true of remains of ancient Hominid species.
Why Humans and their hair parted ways
There are a few theories I found at this site, such as perhaps humans went through a semi-aquatic phase, or lost their hair to adapt to hotter conditions in Africa, and sexual selection. Another article related this to modern times and how hairlessness is still favored in sexual selection.