"Nothing in Biology Makes Sense Except in the Light of Evolution."

From Why Evolution is True by Jerry Coyne:

One of my favorite cases of embryological evidence for evolution is the furry human fetus. We are famously known as "naked apes" because, unlike other primates, we don't have a thick coat of hair. But in fact for one brief period we do--as embryos. Around sixth months after conception, we become completely covered with a fine, downy coat of hair called lanugo. Lanugo is usually shed about a month before birth, when it's replaced by the more sparsely distributed hair with which we're born. (Premature infants, however, are sometimes born with lanugo, which soon falls off.) Now, there's no need for a human embryo to have a transitory coat of hair. After all, it's a cozy 98.6 degrees Fahrenheit in the womb. Lanugo can be explained only as a remnant of our primate ancestry: fetal monkeys also develop a coat of hair at about the same stage of development. Their hair, however, doesn't fall out, but hangs on to become the adult coat. And, like humans, fetal whales also have lanugo, a remnant of when their ancestors lived on land.

From http://markii.wordpress.com/2008/03/10/more-vestigial-organs/

• Lanugo. This little-known developmental phenomenon is an important clue to our mammalian past. Lanugo is a coat of fine, downy hair that fetuses grow while in the womb, covering the entire body except for the soles of the feet and the palms of the hands. Typically, lanugo is shed by the seventh or eighth month of pregnancy, although premature infants may retain it for several weeks after birth. The question is why we grow it at all, and the theory of evolution can easily explain this as a vestigial characteristic retained from our furry ancestors.