Hair: Displays with strange transparency or holes

Several things to check:

First, if a vertex does not have a bone assignment, it will not display.
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Second, if the vertices are not assigned to exactly 100% totals, they will not display properly. This fix is covered in step #46 in the Beginning Unimesh Tutorial (fix underweight bones)

The above is the cause of 99% of the weird behavior of hair
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Third, (and this usually is already correct if you are using Unimesh, but might not be correct with SMD import/export)

Hair layers each have their own transparency, and sometimes this is set incorrectly, which can cause odd display issues, such as the hair bleeding through the head, or odd transparent bits around the edges of the hair.

From Pinhead:

After you click on Geometric Data Container, go to "Items 3" tab.

There you will see the group names (hair, hair_alpha3, hair_alpha5,.. and so on)

Select one of the alpha groups. I will try to explain how this works,
but it's a little complicated.

If the number of the alpha group is 3 you need to change the opacity
(third box) 0xFFFFFFFF to 0x00000003. If is 5 you need to change to 5.
If is 7, change to 7 and so on. After number 9 the hex change to
letters until reach the F and then will start again with 10, 11, 12..
So, 0x0000000A will be 10, B will be 11, C will be 12... If you get
one mesh that has alpha13 you need to convert 13 to hexadecimal (will
be 0x0000000D).

You can use a little tool in SimPE to convert the
decimal numbers to hexadecimal. Menu "Tools/Hex<->Dec converter"
remember, after 0x will be always 8 numbers. No more and no less.

The hair group will always have the opacity 0xFFFFFFFF

If you significantly changed the layers or added things to your hair mesh, there is a much more detailed explanation of how layers are constructed here