>Why are some hair thicker than others?<
Lack of education. Rabbits are even more stupid.
Oops. Sorry. Wrong type of hair.
Iggywig answered in part, but I must take issue with the hairs of the armpit serving sensory functions - there's not a lot of wind in there. The hair that humans have retained around the genitals and underarms is believed to help pheromones diffuse into the air so that they can attract a mate.
Why do men have hairy chests and beards? And why is all this hair so coarse compared to that on the head or the forearms? Well, for a start, blond(e) hair is usually finer than dark hair. Curly hair is usually coarser than straight. Widely spaced hair (e.g. pubic hair) is generally coarser and curlier than close growing hair (e.g. on the head), although this doesn't hold for the beard. Iggywig must be right about the sensory benefit of soft hair. There is also a degree of insulative benefit, though we've substituted clothes in that respect. Eyebrow and eyelashes are definitely protective - they need stiffness, so must be strong. Ear and nose hairs are for filtering - they too need a degree of rigidity.
The more you think about it, the more apparent it becomes that the hair on our heads is the odd one out; it serves limited purpose except for showing off to the opposite sex. Perhaps this is why old men lose it; it has done its job and it's too bad if it hasn't. Evolution has favoured the long flowing locks that are quite different from those sported by our nearest simian relatives. Nubile women (and men) tend to wear their hair a good deal longer than people in other age groups. Long hair is shown off best if it is shiny and straightish. (All these dubious assumptions apply to people of European extraction - clearly other factors, perhaps less trivial, have been at work in different parts of the world).
Beards and moustaches attract the ladies. Hairy chests likewise. My own hirsute body and face are - I'm sure - a magnet for the opposite sex. And please don't let your stylist talk you into waxing your torso.
If you enter "hair" in the search box on this page you'll get a lot of interesting pages to read with plenty more detail than I've put in this post.