I don't shave my legs because I can't stand the stubble. I need the long-lasting smoothness you get from waxing. As for the pain, I don't mind it. It really doesn't hurt that much. Waxing is way better than shaving because you do it once and the hair is gone for weeks. Shaving only lops off the outer part of the hair, and the hair shaft under the skin comes out right away--already thick in diameter, making for a rough and ugly stubble. But after waxing, it grows out fine and soft. So for me waxing is a no-brainer.
The downside is that you have to wait until the hair grows back long enough to wax it again. That means a period of some weeks with increasing leg hair. In the winter, it isn't a problem, I wear tights anyway. But summertime means bare legs and the waiting-to-wax phase interferes with that. So far the only solution I've found is to wear long skirts while my leg hair is growing out. Fortunately I like long skirts. But it would be nice to vary the skirt length once in a while.
Laser on my legs would be nice but I have no money for it. I save money by doing my own legs with sugar. Just wish I didn't have to spend every so often with hairy legs for it to work.