I don't like shaving much myself, but second the idea of using shaving gel/soap. Also, use warm/hot water, and wait until you have been in the bath/shower for a while, to help soften up the hair. If you don't need a super close shave, try shaving in the direction of hair growth. If you rub your leg you will still feel slight prickles, but they're not noticeable to the eye. The very end of the hair is still sticking out of the skin, so you'll probably get fewer bumps. If the hair is long, I shave this way first, then against the direction of hair growth to get the silky smooth feeling.
Waxing, while more painful, I find is so much better for me in the long run (when I have access to it). Don't have to shave every other day/once a week, and hardly any bumps.
[font="Franklin Gothic Medium"]~Anime North 2014 Masquerade Co-Director [Masquerade AT animenorth.com]
~ Anime North 2014 Culture Track Organizer
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