In this study (n=1), a man who spent great deal of time alone on an island discovered that when he returned to the mainland and was able to visit his girlfriend his facial hair was thicker. So he tested it. By collecting daily shavings and weighing them, the anonymous author determined that sex (or anticipation thereof) caused an increase in beard growth. But the effects were only after being away from her for some time, and diminshed quickly after the first day together. He followed this up with self-administered hormone studies on the island, and determined that many different hormones resulted in similar growth, with androsterone having the best effect.
The full paper is available here (subscription required) and more details can be read at Neurotopia.
One of the commenters there has suggested that the paper itself was a hoax. I haven't been able to find any retractions (and it wasn't April Fool's Day), but almost all of the letters in response to the paper suggested alternative reasons for the difference in shaving weight - most having to do with time of day and/or relative skin thickness. The author tried to control for this with a regular shaving schedule. One correspondant suggested some further experiments:
Your anonymous correspondent (Nature, May 30, p. 869) ought, in the interests of science, to try abstaining from sexual activity during some of his returns to civilization. Or, better still, the lady concerned might be persuaded to cooperate in the experiment by unexpectedly withholding her favours during certain of his visits, chosen at random.Hmm. Doesn't sound like a very fun follow-up. And if the results are real and generalizable, it doesn't quite explain my own thick facial hair.