From page 20 of the Feb. 29, 2008, edition of the New Scientist magazine:

Lakshmi Pandrangi and Glenn Morrison from the University of Missouri in Rolla exposed eight washed and eight unwashed hair samples to ozone for 24 hours. They found that, on average, unwashed hair absorbs around seven times as much ozone as freshly washed hair (Atmospheric Environment, DOI: 10.1016/j.atmosenv.2008.02.009). "Ozone is probably reacting with components of hair oil," says Morrison. ... Ground-level ozone can cause respiratory problems and has been associated with increased mortality. Morrison says that having greasy hair could reduce your ozone exposure if you are indoors. ... However, just before you throw out your shampoo, Pandrangi and Morrison found that unwashed hair samples produced more secondary-reaction products, such as the respiratory irritant 4-oxopentanal, because of the ozone reacting with the hair oil.