This is called tapering a line, and if you want to make hair, a smile, or anything that goes from thick to thin, this is the way to go. 
Let's start.PRIMARY METHOD
Firstly, make a fairly long line with the line tool, (or any other method of adding a line, you choose).
Then, alt-click (option-click on a Mac) several times in different places along the line, to get a result like this. HINT: Make sure each segment is very close to each other, and do your work with precision.
Then, use the subselect tool to make each segment thinner than the last, until you can't do it anymore.
You'll have something like this:
ALTERNATE METHOD:
This method is better for hair, or anything that isn't a straight line. First, make a very short line, as a contrast to the long line for the previous method.
Then, make several other little lines slowly sloping in another direction to make it curve. Make sure there are a lot of lines, and only little changes are made to each. For this method, it's better to use right click with the subselect tool, since it automatically selects your newly made segment so you can change the width quickly without changing tools.
Experiment, you could create all sorts of stuff with this! I decided to make a nice little anime eye with this technique. It's not that good, but it gives out the message.
EDIT: Now on my Styk page! Just click the link in my sig that says "My Styks".Example:
Not like I knew that. AND DON'T POST SUCH HUGE BUMPS!
