Succulents as a group evolved in some very inhospitable places. Their environment is usually hot, dry and has animals just dying to eat them. This is a strategy they need to protect them.
You've most likely seen lots of succulent plants that have 'bloom' - no not the flowers, a layer of wax that protects them from the sun.
This is typical of Echeveria, Graptopetalum and many of the hybrids between those two genera. Sedum has it too, and if it rubs off you can see a real difference between the bloom and the actual surface of the leaf.
The evolution of a fuzzy surface is another adaptation to extremely intense light. Each hair will cast a bit of shade on the leaf surface, making it a tiny bit cooler for the leaf. Fine hairs are one strategy to protect plants in full sun.
Some of the most popular succulents that show this are in the Kalanchoe, Echeveria and several other families. This list is not complete, as there are many other succulent plants that aren't as popular because of this trait.
They have particular needs, such as not being watered onto the leaves, especially with cold water or water that has a lot of minerals in.
Cold water droplets harm the leaf by making a magnifying effect when in full sun. The tiny hairs that make up the 'fuzz' can be damaged, leaving the plant exposed to direct sunlight where it can be burned.
So if you have fuzzy leaved succulents, water with 'tempered' water only, and use rainwater or water from an air conditioner. This will make sure that it has no minerals in. Oh, and water the surface of the soil only, not over the top of the plant.
Getting the leaves or soil too wet for too long can create lots of problems, as this picture indicates;
Other succulents will have textures on the surface, acting to refract the light and diffuse it so it's not as intense. See below the hedgehog iceplant to see how that looks.
Some great fuzzy, velvety or hairy succulents you may see are in this list;