Not just lubricant, but heat retention as well. Think about it... where are the warmest parts of your body on the exterior? (the places where you're told in first aid courses to put your hands in the cold to prevent frostbite?) Armpits and groin. Also our heads, because there's a lot of blood pumping up there. So hair stays there to ensure a buffer zone so not too much heat is lost through these areas... same function as animal fur.
As to men being hairier than women, since almost all mammals are MUCH hairier than us (fur) I think the real question is not why men are hairier than women, but why women are less hairy than men; we hairy men are closer to the mammalian norm. If you believe in evolution (as I do), I think the reason stems from the fact that throughout human history, the womenfolk have tended to stay closer to the home, whereas the men went out on long journeys over large tracts of land, hunting and whatnot. Therefore we kept more 'fur' on us to protect us better from the elements when out on such forays, whereas the womenfolk would have needed less 'fur' staying closer to home. Dunno if that's at all right, but it makes sense to me!
