Why do MLB players take off their hats when they enter the dugout?

Some do, some don't.  If they are scheduled to hit they will get their batting helmets ready and remove their hats.  Others remove their hats to mop their heads and faces.  Others do so because it is cooler without a hat.  Others, especially the manager and coaches do not remove their hats while in the dugout.  There is no set rule for or against wearing a hat in the dugout, only on the field, players and coaches must wear their team hats or batting helmet.