I use an epilator. Emjoi is the brand (mine is a super old model - called Gently Gold - don't know if they still make it or not). I only use it on the upper leg where there is less hair and where it's a bit more coarse (on me...which is why I remove it). I barely notice the pain now but it's been about 10 years that I've been doing it. It's about the same pain as waxing, but it's much less messy and way cheaper. It is a bit time consuming, but it lasts 4 - 5 weeks for me.

I tried it once on the lower leg and it was to bloody painful. For that part, I use a razor.