Fat on whales, etc. is a poor conductor of heat. Hair is much like feathers. Goose bumps are involuntary muscle movements that make our hair stand up. Temperature regulation Animals need a certain amount of heat in order to stay alive. Some reptiles can convert radiation directly to heat, that is why lizards sun themselves.
Humans have several ways to adjust their body temperatures.
If the body temperature starts to rise, then the blood vessels near the surface of the skin get bigger in order to move more blood and let the skin radiate the heat away. That is why you appear flushed after being in the sun. In addition, you sweat. The water absorbs heat in order to evaporate. When the body gets too cold, the blood vessels contract so that less heat is carried to the surface.