Couple of ways - there's the nicely textured polygon method or the sasquatch/sasquatch lite method.
Nicely textured polygons can look pretty realistic but they are more difficult if you're thinking of animation, for static shots though they can be good.
Sasquatch lite is a bit of a bugger to play around with and it does require some taming to figure it out properly, but when it comes to animating hair flow or making fur, then it is the way to go.
Examples of Sasquatch/Sasquatch Lite can be seen at Worley's own website at
www.worley.com, also worth looking at is the work at
www.arkvfx.net. I believe they've gone over to using XSI now, but I think they started off using Lightwave with both sasquatch and textured polygon techniques (Craig, can you verify this at all if you're reading?)