This tutorial for Illustrator CS2 details how to create a "furry" text effect.
1. Here are my font settings. If you do not have this font, just choose something similar. The fill color doesn't matter at this point so just fill it with anything for now.

2. An important step in creating this particular effect is creating the stroke for the letters. Check the box next to Dashed Line and make a somewhat random dashed line. It looks more natural if the spacing isn't so equally spaced.

This is what you should have - or something like it...

3. Now go to Effect > Stylize > Scribble. You can use the same settings below, however you'll probably need to tweak them a bit to get the desired effect.

4. With the text selected go to Effect > Sketch > Chalk & Charcoal. This will give the Fill a more "scribbled" appearance as well.

5. Change the Fill of the Text to "Steel Cylinder". (See below.)

Now, you just have something like below, furry looking text! *Note: I also increased the stroke size from 1 to 4.

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