It just occured to me that the structure of the "hair" on more basal coelurosaurs resembles the kind of fur seen in polar bears. Polar bears have hollow fur which acts like a fiber optic cable to channel the sunlight to the dark epidermis while also maintaining an insulatory surface to hold the heat in.
This makes me think that small theropods were doing something similar with their fuzz. If you look at the distribution of long feathers in maniraptorans, they seem to be most evident on the tail and arms - the parts of the body most prone to heat loss. Perhaps feathers became more complex with barbs and barbules to increase the light intake of these filaments.
Jeff Hecht (author of Understanding Fiber Optics)