I've been meaning to write up a tutorial on this, but you can get some really great results using the hair/fur features and rendering them to texture. If I have some time next week I'll write it up.
I hadn't thought of it like that, SouL. I assume you're referring to the way the alpha channels would render stacked on top of each other? I knew it was a problem in Max, but wasn't really aware of it in-game.