Importance
Ahh, hair.  The human's crowning glory!  Women buy every shampoo on the market in their search of acquiring a head as perfect as those Pantene commercials.  We all want great hair because we realize what an impact our hair has on how good we look.  Have you ever noticed how you seem to appear so ugly on a bad hair day, and then when you get your locks to look just right, suddenly you appear so much more attractive?

It's no different when it comes to art.  Hair is the crowning glory.  I don't care how knock my socks off the rest of your picture is.  If you draw a woman, and if everything on that woman is perfect (breathtaking costume design, marvelous intricacy, perfect anatomy, beautiful eyes)......but her hair looks like a bird's nest, the picture loses its impact.  Hair is a must learn if you want to improve your work.
 

Overwhelming
Yes it can be overwhelming.  You're staring at a photograph of a woman with a head of a million lustrous curls, and the mere thought of even attempting to re-create this natural wonder leaves your head spinning.  Has the following happened to you?  You finally get the courage to begin the work, and for want of knowing a better way, begin to scrawl squiggly lines in every direction hoping you're going to come up with something suitable.  You won't. 

Two major mistakes I've seen artists make when attempting to render hair are the following:
Giving their unlucky subjects 1) a helmet or 2) haystacks for hair.
 

Meet the Helmet and the Haystack
I've seen a lot of artists color in hair as if it is one large mass.  They fill it in with only one shade, and draw the ends of the hair as if they're one perfect block.  That's fine if your subject's hair is made out of cement.
Next is the scribble happy artist, who furiously scrawls lines back and forth, up and down and around and over and through and inside.  It will end up looking like a pile of dirty hay or mounted tumbleweed.  And I doubt mounted tumbleweed is the look any of us are going for.  If you've made these mistakes, do your viewer's eyes a favor and try a new approach.

A very important thing I've learned in drawing is that the only way to do something well is to know it well.  In fact, if you can't draw something completely from your mind, it means you don't know that something good enough.

Can you draw hair completely from your mind?  If you can't, that just means you don't really know what hair looks like.  There's a simple solution. Study it.
 

Understanding Hair

The hair on your head is made up of many individual locks of hair, which are made of many individual strands.  It's not one big mass, so don't draw it like it is. 
Go ahead, go on and look in the mirror.  Study your hair.  Every strand.  See what I'm talking about?  There are tons of little individual sections of hair that come together to form the big picture.  To illustrate my point we have a number of models along with Mr. Dicaprio. Take a good look at the photos above and see how each person's hair is made up of sections, or locks.  The size and number of locks will always depend on how brushed, gelled, stringy, straight or curly the hair is.
 

A Bird walk with Patience
I'm taking a quick detour.  The biggest foe to realistic artwork is impatience.  Many times I want to finish my work barely before I start it.  I have this consuming need to complete; and if I don't watch it carefully, my hand becomes hasty, and my art shows it.  And believe me, I've never created something I was happy with by rushing it.

Making the illusion of touchable hair in a drawing requires a lot of patience.  In fact it may take just as long as the face, if not longer. Don't add hair to your subject as a side note.  You may even try doing the hair first,...that's what I do.  The hair needs just as much attention as the face, and if you devote your effort to it, it will make all the difference in the world.  "Ok," you say.  "That's all fair and noble Rebekah, but none of this is helping me in how to make hair touchable."  Patience, patience,...I'm gettin' to that ;-) .
 

De-Overwhelme
If you're overwhelmed by a project, you simply need to break it down into steps you can manage.  I am going to illustrate the basic steps of drawing hair with two versions.  Straight hair, and curly hair.  You'll find the reference photos below.  If you're a beginner, it would be a better idea to start with the straight hair first.  Curly hair is exhausting, draining, complicated, and takes incredible amounts of attention...to say the least.  But when you master it, it's worth it.

-Build the framework
First we need a basic line drawing of what we're going to be doing so we're not completely lost.  You will need to draw the outline of your subject's face and hair first.  You should do this by drawing basic shapes as a foundation and then refining those shapes until they are in accordance with your reference model/photo.  You will find a brief description of this process at Basic Drawing Steps.  I encourage you to pay special attention to the proportions of your subject during this stage.  It's the foundation for what will be built upon later, and the further you progress, the harder it will be to correct.
Look at your subject and mentally outline all the different hair locks you see.  If you are going by a photo it may help to take a pen and actually mark the outline of the locks on the photo.
In my practice example I have drawn the basic outer shape of the hair, and then have made lines to illustrate the most prominent locks and shadows. 

-Bring in major highlights and shadows
Shadows and highlights are what give an object form, so it's important to establish these as you work toward creating believable hair.  Look at your reference and pick out where the darkest areas are, and begin to draw in these shadows on your artwork.  Let them slowly blend into the lighter areas and leave the brightest highlights white for now.  It's important to put enough half tone (a grey who's shade is in between the darkest and lightest) in the picture.  Hair in real life never goes from stark black to pure white.  There is always a gradual transition, so be sure to put that gradual transition in your work also.

If you are copying a photo, don't feel you need to duplicate every twist and curve, especially with curly hair.  Copying a photo pixel by pixel is very taxing and limits your creativity.  So feel free to take a little creative license.  If you are creating hair from your head, then you won't have this problem of course...but if you want to make the hair believable, once again you'll need to look at real people with hair close to what you are attempting so you can get a feel for the what it should look like.

-Create strands
Obviously you can't draw every single strand that would be on a person's head.  Talk about being a pain, and beyond that, completely unnecessary.  But you do need to pencil in just enough distinct strands to give the illusion that what the viewer is viewing is in fact, hair.  Using your pencil, make sweeping strokes following the same direction as the hair is flowing.  Strokes in the highlights should be much lighter than the strokes in the darkness.  As you come to the ends of the hair try to avoid making them all the exact same length, as the length of real hair usually varies in some degree.

Adding a few loose strands gives a natural feeling.  Put some fly aways here and there, and be sure to add soft little hairs at the base of the person's scalp.  Hair never abruptly cuts off at the forehead or under the neck.  Doing these small touches will make your hair truly tangible.

Strokes
Next order of business.  How to make hair look like hair...without scribbling.  This strongly has to do with the direction in which your pencil goes as you lay down the graphite.  Don't use a back and forth motion to your pencil.  Lay a stroke down with your pencil, lift it and start again. Do not simply drag it back hoping to cover more space in less time...this only leads to messiness, and it will save you no time whatsoever.  Plus it's nearly impossible to maintain the level of control that's required.

It's usually a good idea to start your stroke from the direction of the roots.  Try not to start it from the ends of the hairs as it can give an abrupt appearance.  Rather let the natural tapering effect that happens at the end of a pencil stroke work in your favor.

Always, and I do mean always, draw your lines in the direction that the hair is following.  This rule applies even in the darkest areas that you think will not matter.  The direction of your strokes effects the texture created no matter what you draw.  If I want to create woven material I'd use a criss cross action.  If I wanted to make the appearance of something smooth, such as leather, I'd use a soft circular motion.  Hair shafts are long thin lines, therefore, this is what your pencil should simulate.

Tip: Going over highlights gently with a kneedable eraser can give a wonderfully soft effect.  Truly touchable.
 

Texture
Some hair is wonderfully soft in appearance, other hair is coarse.  Many of the popular hair styles today use gel or stark highlighting and therefore have a very sharp appearance.  To be able to control how the texture of your hair appears, do one of the following.

Soft hair:
You'll see a photo of a model to the left with really soft hair.  To create this illusion you will need a fairly dull pencil that is not too hard and not too soft (soft pencils get very grainy when applied lightly).  I'd recommend a regular #2 as that's my favorite for this type of hair.  A dull pencil allows you to make softer, broader strokes which will give the feeling that the hair blends together. You'll need a softer pencil though for the darker shadows, as softer pencils create much deeper looking shadows.  Also be sure to lay your pencil strokes down very close together so that it's difficult to tell one pencil line from the next.  And last, make the transition between shadows and highlights gradual. 
Wait, wait, that wasn't the last thing.  Although you want to use a dull pencil for the majority of the drawing, go over some areas with a sharper one, just to give that touch of single strands.
 

Coarse or sharp hair:
With the visual aid of Val Kilmer over here, we see an example of sharper hair.  Mostly attributed to the use of gel and some strong shadows.  If you want to draw sharp hair, then you've got to use a sharp pencil.  Sounds logical enough.  This is the absolute opposite of the technique for soft. Draw sharp lines with strong contrast between light and dark and less half tone than you normally would use.

A Note on Pencil Pressure:
If you under salt your soup you can always add more, but if you over salt it, you're stuck.  In the same way, putting too much pressure on the lead and making pencil marks that are too dark is like over salting; it's very hard to fix if later you decide it needs to be lighter.  So as you do hair, be gentle with the amount of pressure you use on your pencil.  Especially in the highlighted areas and with blonde or light brown hair.

Tools
As in all my artwork, having a variety of graphite hardnesses is absolutely essential to creating the amount of depth that I do.  I'd recommend you have the following levels to do pencil work in general: 4H, HB, #2, 2B, 3B, 6B, and 9B.  You'll need 6 and 9B for your darkest ebony shadows.  #2, 2B and 3B are good to use for most of the hair.

Paper is important as its texture will determine how you drawing will appear.  Unless you like the look of a coarse drawing, a smoother texture is usually best.  I recommend a regular surface to begin with, and later on you can try the smooth texture; which is harder to handle but can output some awesome results.  I use Strathmore Bristol 300 series, 100 pound paper for my serious drawings, and Borden and Riley #116 sketch vellum for when I'm just having fun.  You can get all of this at your local art supply store.
 

Disperse Thyselves to Thy Drawing Boards - And take thy pencils with thee.
And with all that said.  That's it, that's all.....there's probably more, I just can't remember it.  I do want to leave you with something you can practice on though.  To the side are thumbnails of the line drawings we went through step by step previously.  Click on them to view a large version, which you can print out and practice on.  And best of all, if you screw up, you can just print out another one!  Nifty eh?

I hope all my ramblings have been somewhat beneficial to you as you learn.  Let me know what you think; what I could add or improve on, how it's helped,...all that good stuff.