Even though I've been riding for years, I never started doing it until I started triathlon training. Here's the main reasons that led to me doing it:

1) We swim 3 times a week. Every time we use fins (just for recovery of course!) the rubber on the fins pulls the crap out of the hair on my feet and toe-knuckles. It blisters without actually removing the hairs. It's vital that I do at least my feet.

2) Massage - it's virtually mandatory when you train six days a week, often twice a day. The only pain worse than getting hardcore hammy work done with leg hair is the first time you break out the wife's epilady. Now that's the very definition of pain - but only the first two times. Gets easier every time and you only have to do it once a month.

3) Wetsuits - same story as with the fins

4) It does look a little weird to have your leg hair sticking through your knicks!