In this Blender 2.6 tutorial, we give Rudolph some Particle Fur! Using the Particle Edit Mode, we use the comb and length tools to make the particles look like fur. Then we add a basic rig with IK chains on the legs so we can pose the little guy and take a nice render. After rendering, we go into the compositor and single out the red nose via a Material ID, and give it a glow effect.
The glow method is based on Jonathan Williamson’s Light Saber tutorial: http://cgcookie.com/blender/2010/03/09/rendering-a-light-saber/