Lanugo

From Freepedia

Lanugo are hairs that grow on the body to attempt to insulate it because of lack of fat. It is normal in gestating fetuses. Lanugo hair is usually shed and replaced by vellus hair at 36-40 weeks gestation. The presence of lanugo in newborns is a sign of premature birth.

It is also a common symptom of serious anorexia, as the body attempts to insulate itself as body fat is lost.