Waxing will definitely give you a smoother finish, but it's also a massive pain (literally). I usually stick to shaving, but have to admit that I'm not the best at it due to a lack of patience. But, something that seems to make a difference is the direction in which you shave: When I shave downwards, in the direction that the hair grows, it tends to leave stubble behind, whereas when I shave the other direction it catches the hairs right at the skin. Not sure if this is recommended though.
Another factor could be the colour and thickness of your leg hair: I have fairly thick and dark hair on my legs, and always feel as though I can never completely remove it. Maybe the pictures you've seen are from people with lighter hair?
I've always wanted to try lasering my legs, but am not sure how to go about it...