A few chaps I cycle with don't bother with shaving their legs, most do though. I started when I was 18, more peer pressure than anything else at that time as I just got into racing. When I stopped racing, I stopped shaving them. I resumed last year when I resumed racing. For me, the main benefit is I feel less hot when I do, the sweat doesn't seem to linger as long as it otherwise would, waiting for the hairs to wick the moisture away. I live in a warm region with plenty of sunny days so perhaps it makes more sense here too.