On this video tutorial Aaron Nace from Phlearn demonstrates how to bets use the refine edge tool in Photoshop.
When you have a complex selection such as hair or fur the refine edge tool is a must. Start by using any selection tool you prefer. On this video Nace use the magic wand tool to select the sky around the lion, and then invert that selection. because the lion has so much detailed hair, a lot of the sky shows through and the hair is not defined at all. To mend this, go to Select- Refine Edge.
You can soften the edge a little, and add feathering. Play around with the contrast and shift edge as well. Keep looking for what makes the hair more defined and realistic looking- it might be helpful to shift the edge inwards a little bit.
We have looked at the refine edge tool several times in the past including Mastering Selections and Refine Edge in Photoshop with Glyn Dewis and Photoshop Tutorial: How to Best Use the Refine Edge Tool with Howard Pinsky.