I haven't tried waxing my face but I had been considering it and talked to my electrologist about it. It may just be her bias, but her opinion was that waxing and plucking made the hairs more difficult to treat later on. Plucking can damage and distort the follicles, making it harder to get the probe to the base of the hair shaft, making them more resistant to treatment.
On a vainer note... I'm not really willing to let my facial hair grow long enough to wax.
If you can afford it, laser and electrolysis are really the way to go.