I found an interesting answer to my own question on freewheel.com and thought I'd post it:

"Cyclists tend to shave their legs (think of Breaking Away), though debate rages in cycling magazines, online, and at meets as to the real reason. Some contend that hairless legs facilitate healing after a wipeout-- dirt is more prone to sticking inside a scratch on a hairy leg than a hairless one. But realistically, the urge to shave stems mostly from sex appeal: As in bodybuilding, a "smooth" leg is alleged to highlight well-developed muscles more alluringly than, uh, a "lumpy" leg. With colorful, shiny, skin-tight clothes, a tricked-out bike, a helmet, and alien-bug-like shades, shaving adds to the sexy-cyborg air of the serious cyclist."

Joe Clark, Lycanthrophobia"

what do you think about the sex-appeal of shaving? maybe they were going for the sex appeal back in the 20s or before?