This is a major sore spot for me, literally and figuratively.
I wish I had the guts to just bare my hairy legs, but I don't, so I just live with the suffering that is hair removal. It's pathetic. My feminist side tells me there is no logical reason I should have to do this, but I do it anyway.
I have coarse, dark hair, so no matter how close the shave it's usually visible in the form of little black dots. Given how coarse it is, pulling it out is agony, but usually gives better results. I have to shave every day, and more importantly, I have to shave against the grain--otherwise it is just too visible. I try to go with the grain first, to thin it out, and I always make sure to soak my skin first, but it doesn't help. Nothing helps.
This year I bought a sugaring kit which I'm going to try. Supposedly it's less painful than waxing since it doesn't stick to the skin. I tested it on my face and it still hurt, but everything hurts so I may as well give it a try.
I do not shave at all in the winter, except my armpits. Another reason I prefer winter and fall dressing.