Waxing removes the hair from the root where as shaving cuts the hair. Its long lasting unlike shaving. Shaving makes your hair thicker and when the hair starts growing back it is prickly and itchy. Where as waxing will thin the hair out in the long run. Like threading when you wax you are exfoliating the skin at the same time.
When I wax my arms, I take notice of how waxing evens out my elbows. My elbows tend to be darker than the rest of my arm but after waxing they are much lighter. This is why my favorite part is my elbows because of the immediate results that can be seen aside from smoother skin and no more hair. Those that have dark underarms have the same experience as well.