This is an interesting question, because all humans grow hair on their skin. There is a nice web site where your question is discussed. I am trying to bring something that you might like (Note from ScienceLine Moderator: the site is not active anymore), though you can also have access to it.

Hair is considered a modified type of skin. We humans grow hair everywhere on the human body except the palms of the hands, soles of the feet, eyelids, and lips. The hair on our heads keeps us warm by preserving heat (we lose about 90% of our body heat through our heads). The hair in our nose, ears, and around our eyes protects these sensitive areas of the body from dust and other small particles. Eyebrows and eyelashes protect our eyes by decreasing the amount of light and particles that go into them. The fine hair that covers our bodies provides warmth and protects our skin. Hair also cushions the body against injury.

That is the reason why hair is actually a modified type of skin.