It depends a bit on the style. Bristle-like, such as a bee, is easier than something which tends to lay against the skin, such as hair of many instances of fur. A slight displacement can make a big difference, but any direction in the surface, just as with wood-grain, has to take the UV mapping into account. Little_Dragon's Bushy Tail uses transmapped outer layers. There are some good Furrette 2.0 texturesets which use bump/displacement techniques. Poser 6 has some extra shader nodes which improve skin rendering, and I suspect sub-surface scattering could pay off on fur--just as with skin, some light penetrates into the fur before being reflected out.