I always assumed it was a mixture of alpha cards (for the wispy bits on Azimuth for example), and something done in code (much like this: http://www.xbdev.net/directx3dx/specialX/Fur/)
really looking forward to playing this, looks beautiful. My guess for the fur would be a parralax noise controlled through a mask so that the areas which dont need fur dont get any eg around eyes and mouth and nose etc. I dont know how they get it to affect the silhouette like that though, some of it is still alpha cards…