Aliens are very rarely portrayed as being furry, at least in proper xenobiology worldbuilding. They're virtually never depicted with feathers, and only sometimes with scales.
Currently, there are three known integument structures which endothermic animals are known to use or have used; hair (in mammals and some other therapsids), feathers (in dinosaurs) and pycnofibers (in various archosaurs). Cicadas are also endothermic, and they insulate themselves with setae, but I guess that falls under the hair category. Scaly dinosaurs are thought to have used scales to trap heat, but that's not exactly confirmed.
There are endothermic animals which have no hair, feathers or any kind of filamentous integument - such as cetaceans, tuna, and mosasaurs, but they're all aquatic, and since heat works slightly differently in water, I'm going to leave that aside for now. Moving onto hypothetical forms of thermoregulation, I could see three-layered exoskeletons (refrigerated by tracheae), skin folds, air-filled shells, and radiators such as dewlaps working, but, here is my rather difficult question;
Could a land animal with naked skin keep warm and cool down by its own means without radiators? Perhaps insulation with fat and fat alone would work, but how would it cool down without skin folds or heat radiators? Would sweating work, or would it be too water-wasting?
Edit: For further clarification; fire, clothing, frequent bathing, and only inhabiting warm areas are also not allowed.