I waxed my legs for the first time today. Technically, it's sugaring, which is supposed to be less painful than waxing. I have no frame of comparison, but...

It hurts! Not unbearably so, but first timers, prepare for pain. I'm using the Shobha Sugaring Kit, and it worked EXTREMELY well. It's only $30, but I would recommend buying additional denim strips if your legs are as hairy as mine were. The first leg took us (my personal care worker and myself) almost $40 minutes to do, but once we got the hang of it we did the second leg in 10 minutes. It really helps if you keep the sugaring gel thin.
Anyway, I had caveman legs before and now they are silky smooth! Even my assistant was amazed at how smooth they are. I'm a happy girl!