The New York Times has an interesting article which theorizes on how and why humans lost their fur. The article covers how dark skin evolved:
Three years ago Dr. Rosalind Harding of Oxford University and others made a worldwide study of the MC1R gene by extracting it from blood samples and analyzing the sequence of DNA units in the gene. They found that the protein made by the gene is invariant in African populations, but outside of Africa the gene, and its protein, tended to vary a lot.
Dr. Harding concluded that the gene was kept under tight constraint in Africa, presumably because any change in its protein increased vulnerability to the sun’s ultraviolet light, and was fatal to its owner. But outside Africa, in northern Asia and Europe, the gene was free to accept mutations, the constant natural changes in DNA, and produced skin colors that were not dark.
As soon as the ancestral human population in Africa started losing its fur, Dr. Rogers surmised, people would have needed dark skin as a protection against sunlight. Anyone who had a version of the MC1R gene that produced darker skin would have had a survival advantage, and in a few generations this version of the gene would have made a clean sweep through the population.
What part sexual selection played/plays:
Once hairlessness had evolved through natural selection, Dr. Pagel and Dr. Bodmer suggest, it then became subject to sexual selection, the development of features in one sex that appeal to the other. Among the newly furless humans, bare skin would have served, like the peacock’s tail, as a signal of fitness. The pains women take to keep their bodies free of hair — joined now by some men — may be no mere fashion statement but the latest echo of an ancient instinct.
Another conundrum is why women have less body hair than men. Though both sexes may prefer less hair in the other, the pressure of sexual selection in this case may be greater on women, whether because men have had greater powers of choice or an more intense interest in physical attributes. “Common use of depilatory agents testifies to the continuing attractions of hairlessness, especially in human females.”
The article hits on some other topics too, like how long humans have been wearing clothes and the role that lice may have played in all of this.