I've never really understood why there is a difference between 髪の毛 and 毛 when talking about hair on one's body. What is it about 髪 that makes it only relevant in the context of having "hair on the head"? Why wouldn't I be able to call hair 髪の毛 if it was in a different area?
髪 is possibly related to 上 (but not 神, see Dono's comment below), something that is at the top. 髪, then, refers to the head (i.e. top of the body), so that 髪の毛 is the hair on your head. Similarly, 腕の毛 would be the hair on your arms, 脚の毛 the hair on your legs.