David Ward has a new tutorial on BlenderCookie that focuses on creating fur with the Blender Particle system.
In this Blender 2.5 Video Tutorial, I go further with the particle hair system and cover the creation of fur in multiple layers.
Keep watching at the end, as I added some lighting tips to get a better-looking render.
The Vimeo tutorial is free to view, but you can buy the high-resolution MOV and source files for a mere $4USD.