There are over 80 species of whales, and hair is only visible in some. Whales have hair on their heads as fetuses, but they don't always keep it. Some of the larger baleen whales have visible hair. One great example is the humpback whale, which has golf ball-sized bumps on its head. Within each of these bumps, called tubercles, there is a hair follicle.
Since hair is not needed for warmth, scientists think the hair serves as a sensory structure, and may be used in social or sexual situations, or for calves communicating a need to nurse.
Baleen whales also have hairlike structures in their mouth called baleen, which is made of keratin, a substance found in hair and nails.