In fact, the whole reason hair will build up static is because it is such an excellent insulator.

edit: about the conductivity of hair:

http://www.rafischer.com/hairtest.htm

edit2: why people think hair conducts well:

Thomas Edison is often quoted as having said the first working filament was a human hair.

He did try one, but it didn't work, what did work was a filament made from a small strip of carbonized bamboo (effectively a 'carbon wire resistor').

This thread was 'thinner than a human hair'.

Thus reinforcing the words hair and filament together again.

much interesting reading on:

http://en.wikipedia.org/wiki/Incandescent_light_bulb