Attached Link: http://edition.cnn.com/2004/HEALTH/05/24/bad.hair.gene.ap/

Here's a link to an AP article that touches on the subject.

Fruit flies may not have mammalian hair, but I suspect the hairs on their legs serve some of the same purposes. They are probably linked to nerves that provide tactile feedback - like a cat's whiskers. Probably hair evolved as part of the sensory system before it began serving its better-known function as insulation and sexual attractant. If you think about it, when hair first evolved, there were probably only a few of them. So they had to be useful, even if sparse, to be passed on.