If you look at upper tube on the frame of a bike, you'll see that there is a cable for the back brake that runs along the side of the tube.  If you happen to have hairy legs, and you happen to brush one of those hairy legs against the cable, and you happen to engage your rear brake at that same moment... well... lets just say you'll have a few less hairs on that part of your leg then you did when you started your ride.  And yeah... it kinda hurts.

And no, I'm still not shaving them.