Sea otter fur reaches densities usually quoted at up to about a million hairs per square inch in the thickest regions, higher than any other mammal. The underfur traps air, which keeps water off the skin. This works, but it is fragile: fur must be groomed constantly, and oil contamination that mats the fur destroys the insulation directly, which is why sea otters were the marine mammal worst affected by the 1989 Exxon Valdez spill.
The metabolic cost is the striking part. A sea otter's resting metabolic rate is commonly given as around two to three times that predicted for a mammal of its mass, and it must consume roughly a quarter of its body weight in food each day to keep up. Much of that heat is generated in the skeletal muscle rather than through shivering.
The ecological effect of all that eating is large. Sea otters preying on sea urchins allow kelp forests to persist, one of the clearest keystone predator relationships documented, though the strength of the effect varies by region and is not universal.