Is it a wool fringe? If it is 'sheepskinny' type wool then try combing it gently with one of the little brushes from Petsathome - they even do tiny ones for guinea pigs but these are great for getting tangles out of wool.
Like tassels? Individual threads of wool? Have you washed it? It's possible that the threads have felted together. Could also have happened with general wear and tear, getting rained on and rubbed perhaps. In that case, unpicking and washing is probably the worst thing you could do as it'll only make it felt more. Could try picking it apart, or combing.