I did when I was younger and occasionally raced intermediate level crits and time trials. I suppose it was helpful a few times after crashes for first aid to road rash. I doubt it made me any faster - I've never had enough leg hair to matter. And I barely notice any discomfort from pulling out hairs, whether peeling bandages off slowly or yanking quickly. One advantage to being older with chronic pain is the little stuff is hardly noticeable anymore. But shaving would probably be helpful for wooly bears and caveman types.