Yup, Wolf's Rain is pretty sexy. I just finished it a couple weeks ago. It's very dark, very melodramatic, very philosophical, and has a fair amount of violence including at least one scene that left me disturbed for hours after seeing it. It also moves at a fairly slow pace but there is quite a bit of character development which I thought made it a very engaging series. Certain things will not make sense along the way but if you stick with it, most of the gaps will slowly fill in. Some things are just never explained, but what can you do. There are a handful of lighter/comedic moments too so it's not all dark and depressing. If you're a hyperactive teenager with a five minute attention span, it's probably not for you. Towards the end, if you make it that far, it becomes incredibly suspenseful. The ending will probably bother you and make you think about what it means. All in all I'd highly recommend it. But no, I wouldn't say it's furry. It's certainly of interest to furries though, as the wolves are very very well drawn, as you can see in the images posted here.
khurynn