It is Faulkner's way of completing the second half of his wonderful double surprise ending without actually spelling it out to the reader that the hair belongs to Emily. Emily's hair is mentioned throughout the short story--first short, then long; dark and then "iron-grey"--and it is a way in which Faulkner shows the progression of time. When Homer disappears, Emily is still a relatively young woman (though still considered an old maid by the town--and probably herself as well), and her hair shows no grey. When the men break into the bedroom following her death, Faulkner reveals the first part of his macabre surprise ending: Homer's skeletal remains is found in the bed. It would be a shocking conclusion to most short stories, but Faulkner adds another twist:
... we noticed that in the second pillow was the indentation of a head... [where] we saw a long strand of iron-grey hair.
This revelation implies that Emily had been sharing Homer's bed long after she had killed him, since her hair had not turned grey until many years after Homer had disappeared. Indeed, Emily's secret proved to be the final chapter of a life that was "dear, inescapable, impervious, tranquil, and perverse."