hairs on leaves may have several functions. Alpine plants in the Southern Hemishpere such as the Vegetable sheep (Raoulia spp. and Haastia spp) along with the Southern edelweiss use thes ehairs on their leaves to stop evapo transpiration. the hairs will trap a small amount of warm air in between the hair and the leaf surface similar to what a down comforter or the fine down on a goose does. this will reduce the amount of water that is lost due to the temperature gradient and also physically as the hairs may cause an aerodynamic air flow over the leaf surface deflecting the evaporation due to friction http://www.geocities.com/CapeCanaveral/Hangar/7649/lupins/lupinbak.htm explains this half way down the page with reference to lupins http://www.biologie.uni-hamburg.de/b-online/e05/05a.htm botany on line again half way down the page describes plant hairs http://www.bestgardening.com/bgc/howto/botany10.htm from New zealand addresses several factors with water loss if you look through these articles and do a google search on leaf hairs and transpiration I'm sure you are going to get more Pierrot
As Pierrot says, often to trap solar heat close to the leaf. Another reason is to make life difficult for aphids and other sap-sucking and leaf-eating critters, and in some cases (e.g. the hairs on nettle leaves) to make life unpleasant for larger grazing animals
