In the aquatic theory, it states that our ancestors spent a signifigant amount of time in water to eventually obtain useful adaptions, the lack of "fur" being one.
The aquatic theory compares us to aquatic mammals, such as the whale, dolphin, hippo, etc. All of these mammals have little fur. It makes them more streamlined. This is not directly related to the question, but it also explains why our fat is attatched to our skin, like the blubber in seals.
For the thermoregulation hypothesis, it simply doesn't add up. If we went to the savannah and shed our fur coat to better regulate our temperatures, why aren't there other "naked" animals? All other predators on land, wolves, cheetahs, etc, haven't found it necessary.
In reply to the sexual preference suggestion: why would we be attracted to naked apes in the first place? Other terrestial animals don't seem to have a problem with furry mates.