The biggest part of it is the displacement map. You want a fine-grained noise with steep valleys, and then use the min/max displacement values to determine the length of the fur. This approach will work in pretty much any renderer. If you’re rather not try making your own noise map, and you own Santa Baby or deWinter, you could use the displacement map for the Fur surface in those products.
If you use DAZ Studio to render, and are looking for a canned solution, another option to consider is the Furify Shaders package. (There are also a couple examples of this shader set included in a some of the SuperSuit ‘style’ add-ons, like the one with the Barbarian outfit.) These shaders use Shader Mixer nodes to create a procedural noise map for the displacement. (Hence why they only work in DAZ Studio, as Shader Mixer is specific to Studio and the 3Delight renderer.)
Another option that has just been released is the Look at my Hair plugin for Studio. This can be used for both hair and fur, and gives you a great deal of control over how it will look. But control comes with a price, in that you have to take the time to style the hair/fur yourself, instead of just slapping on a surface shader and running with it. Depends on how much flexibility you need. LAMH requires Studio to create your hair/fur presets, but can be rendered with any rendering engine if you choose the OBJ export option. (If rendering in Studio with 3Delight, you’re better off leaving it set to its default export of RenderMan splines.)