yep, i've seen it before.  in eyelashes too, and especially using wild hair up close.  i'll have to wait till i get home to send  a screenshot, but you know the parameters window with all the dials?  there should be a second tab.  click on that one, and you should see the name of what you've selected, whether it's visible or not, and whether it can cast a shadow or not.  it should also have a shading rate, which probably has the default of 0.2.

if the hair is a figure and has several parts, you can set the rate for each one.  so if the bangs are a separate part and it's the only part giving you trouble, you can set that part low and leave the rest.  conversely, if you want to affect the whole hair, you have to set the shading rate for each part.