i can't stand hot wax, so i had those things you're supposed to warm between your hands. it works fine, i guess, once you've learned the technique. but i mostly remember (apart from the pain, i'm so sensitive) how hard it was to remove the little bits of wax on my legs. (the brand was Veet btw).
you also have the electric epilating thing. very effective, and also very painful. my mom says after a few times you don't feel the pain anymore though, and you don't have to epilate much, my mom does it every 3 weeks or so.
personnally i don't like much those, so i'm just shaving my legs.