Have you tried waxing or epilating? It hurts at first, and you may get some bad ingrown hairs, but over time the hair gets softer and thinner and eventually you'll be able to shave more easily (or not shave at all).
If you really want to shave, get a really good shaving cream that's meant for legs (one of the ones that come in the pastel-coloured girly cans). Wait until you've been in the bath/shower for at least 10 minutes (to soften skin). Exfoliate with a body scrub. Then shave with the shaving cream using the absolute minimum possible amount of pressure (use a good-quality women's razor, too) - I find that even the coarsest hair can usually be shaved with the razor just gently held between your thumb and fingertip, using several very light strokes in each area rather than a single heavy one. Then when you get out, before your skin dries completely, moisturize the hell out of it with a good lotion. If you do this regularly, your skin will eventually get used to being shaved. (I've shaved some boyfriends...*grins*)