Here are some well insulated locals on Hadrian's Wall. Mammals have some form of fur covering. The fibres trap air between them. Since the air is trapped, it cannot carry heat away by convection even though it will expand and become less dense. The hair also stops the wind moving particles away from the surface of the skin so it also reduces evaporative cooling. Hence the air trapped by the sheep's wool is a good insulator. It is a gas so and the particles are not joined so it is bad at conduction. The trapped air will be a bit cooler than the body but a bit warmer than the air around. It means that the temperature doesn't fall as quickly when you move away from the skin which reduces the rate of heat loss.
