Jason Pierce has posted a nice library of furs on Elysiun. They are all made by combining static particle systems with clever material settings. Static particles are a particle system that are 'frozen in time' so that you can see the full particle trajectory at any frame of the animation. By setting the right perturbation and gravity you can create some pretty convincing hair or fur effects.
Of course you can tweak the appearance of these static particle systems even further by applying curve guides and weight painting. See the video tutorial on Hair on how to do this.
Once you have the file there's still some manual effort involved though. Jason writes:
To obtain good looking static particle fur you need to tweak both the settings in the effects panel, and the material applied to the particles. The materials you can simply append into your scenes. However, the particle effects will have to be copied by hand. The particle settings found in this file will most likely not work on your objects "straight out of the box". However, they are a good starting place and shouldn't require too much tweaking.
Also, note that the sample particle systems are stored in different layers in the scene. Press 1-8 to access them. The library also comes with a nice mini tutorial on this technique.
Yes I know: this one has been around on Elysiun.com for almost a year now but I thought we should add it for reference.
The fur library and mini tutorial are available on Jason's website.