I read somewhere that if one shaves, the end of the hair is squared off (like a tree stump), and that's why it "appears" thicker and darker. When one waxes, the hair is pulled out by the root, so when the body replaces the root, the hair that comes out is pointed, creating the appearance of thinner, finer hair.
That's been my experience with various body areas that I've shaved and/or waxed...