Nothing special here. I used two spotlights and 2 omni lights for general effect, and a skylight for gi/ambient light.
Because I modelled the hair in Zbrush, I used the smudge tool to make it look more fuzzy.
I add the background and adjust the brightness/contrast. Then I play with the saturation controls and do some colour-correction. Most of the time I work intuitively, but if it looks good, I'll keep it. The last step is to add some grain, just to get rid of the clean cg-look.
And here we are, at the end of my tutorial. I hope I have given you some useful information and I hope that you are not angry if you find that something is missing. (Ok, there is always something missing!)