Here are some interesting facts I found on the web:

Before the age of the transistor, horse hair was used as a humidity sensor. A group of horse hairs were attached [glued] to two holders and as they stretched and contracted with the humidity, the change in their length was taken as a measure of relative humidity.

If the air is dry, like on a dry day or under a hair drier, your hair will have a certain amount of curliness to it. If the humidity goes higher, then water, dissolved in the air, goes into everything, including your hair. That is, your hair is absorbing a small amount of water, even though it doesn't feel wet. Your hair is protein and made of amino acids that form hydrogen bonds and sulfur bonds. The water has a very strong effect on the hydrogen bonds, and allows the proteins to shift around a bit and causing it to stretch as it begins to weigh more. With some people, the extra water from the humidity may cause the hair to become more curly. But even then, after a while, the hair becomes more soaked with water and begins to stretch after more water absorbed.