My cycling is more for triathlons vs. road races... hence, I pretty much shave for... get this: the convenience.
Sure, it's a pain in the butt to shave... especially since I have issues with in-growns... but, I do it anyway, because I prefer that to 2nd degree burns from splotchy sun screen application -- ever try applying water/sweat proof sunscreen to wet / sweaty hairy legs?
Last year, on an early AM July 4th solo ride -- with nary any traffic, I was taking a corner in Harvard Square, that's normally too traffic laden to go at any speed... Well, since the roads were empty, I was foolish and took the turn at a moderate speed of 18mph. Unfortunately, the bumpy asphault, which is barely noticeable at 5-10 mph behind cars was a bit more noticeable. In fact... it took me by surprise, and my front tire bounced up turned towards the outside of the turn... I tried to correct, but didn't react in time before the tire hit the asphault again and I slid right onto the inside side. I was amazed that my legs were unscathed, except for a bruise... my shorts, on the other-hand... were shredded... not quite through, but I still have it, and it's pretty much as transparent as plastic cling-wrap on the impact side.
Lessons learned:
1) Don't ride through city streets like a pro rider, when you're obviously not.
2) Louis Garneau cycling shorts are awesome body armor for cyclists.
3) I can't say for sure I avoided road-rash due to having no hair on the legs... but I somehow avoided it on that crash. My bar tape, saddle and shorts weren't so lucky.