No, I think hair is good to keep a little warmer. I noticed that I get more hair in places where I wear less clothing. For example, there is a lot more hair above the top of my socks than below. The body seems to know when it is a good idea to make more insulation. If we tried to live without clothing, we would probably get a lot hairier. Unfortunately, we have laws restricting our freedom in that area but some other places are much more restrictive. In New York I remember hearing that it was decided that women would be allowed to go shirtless because it would be sex discrimination to require women to have different clothing from men. I heard that the authorities would suggest to topless women at the beach that they cover themselves more but they would not be allowed to make an arrest. For more on this you could take a look here:
Parks Dept. Weighs Beaches With Areas for Topless Women - New York Times
To me it seems strange that many women spend so much time and money trying to modify their bodies by shaving and putting on makeup. Many of them have acceptable bodies without modifications. Maybe some will quit that because of the recession. It's more important to eat than to look glamourous.
I think some bicycle racers and swimmers shave hair to reduce drag. It probably makes a slight difference, like cleaning the dirt off your car.