Guys, the problem is more than serious.

Have you tried to render fur with Houdini installed on Linux?
It appears that this is the problem: Houdini on Linux.
If you try to render fur with a texture driving some attribute of the material,
(like color) the render stops randomly.
So even the default shader (textured_hair) won't render, because
it's using the “leopardskin.rat” texture by default.
If there are no textures used in the shader, it appears to be working.
I used Marschner Hair shader from the Exchange, the same thing.
If it uses a texture, the whole thing blows.
Also, it appears that this is related to micropolygon rendering, I'm not shure.
I tried this on an Ubuntu 10.04 installation, AND on a CentOS 6.0 installation.
On Windows everything seems to be ok.

This is really strange…