I've been shaving my legs longer than I have my face, and frankly, find hairly legs a bit weird. Of course I started hanging out with roadies when I was around 14, so I got "molded" that way. As for performance benefits, I seriously doubt there's much of an aero advantage to it unless you have legs like Chewbacca. Shoe covers like the ones time trialists use would likely save you more time over a given distance. Swimming yes, but only if you shave your whole body (again, unless you're a bear). And I'd be shocked to learn of any run speed benefits to be gained by shaving.
So the basic reasons for (a male triathlete) shaving ones legs are thus:
Peer pressure
Crash rehab/massage convenience
Personal preference
Chicks
<If you're gonna be dumb, you gotta be tough>
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