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I like feathered dinosaurs. I like imagining them being very colorful!
I am saddened that we will probably never know about not only all the cool colors and feathers that dinosaurs had, but also the various fleshy structures that they also probably had.

We do, actually!. Recent research proved there are melanosomes in some fossils/imprints, which were previously thought to be bacteria. This gives us a fairly good idea of the colouring of certain species. Check out this sinosauropteryx:

I highly recommend reading the book Dinosaurs: New Visions of a Lost World. It’s fun to read, has amazing illustrations and was written by one of the people who discovered this.

Dinosaur coloration - Wikipedia

Wait

Is that fur?

Feathers, but very simple ones. Remember - feathers haven’t evolved for flight. No idea how cuddly they were (you’d have to ask a paleontologist), but I’m just going to assume “extremely”.
What’s the difference between simple filament like feathers and hair?

Composition? I tried googling it. Found an article which says that while hair is made of keratin, feathers are also made of keratin, but the keratin is different.

¯\_(ツ)_¯

Maybe someone who knows what they are talking about will chime in. I am not that person.

I imagine it’s rather like hatchling down, and if so, it’s very brittle, and makes for a lot of dust.