Lol Veena I think you just got unlucky! I've been waxing for years, and the first time I got it done i had done some research and was expecting it to hurt. I thought I'd cry, and scream, and squirm... I was so ready for extreme pain that when it actually came to the waxing I was like 'Is that IT!?' To be fair though, I did have a good waxer.
I've been to many good waxers and many bad ones since then... you just have to find somebody who knows what they're doing. Because I've been waxing for so long, I find the hair grows back a lot slower, and even as the hair is growing back it is so sparse and fine you can't really see it from a distance (important for me!) - it grows back lighter and finer. If you shave in between I think it will ruin it, slicing the hair off and making it stronger, instead of pulling it out at the roots and making it finer.
Since I went back to college last year, I became poor and started waxing myself. I use professional brazillian wax for sensitive areas and heat it up in a professional waxing pot. I bought the pot on sale, and after 2 waxes I had saved money by not doing it professionally. It's the type that you pull off with your fingers like they use in salons, not the ones with cloth strips or anything.
The best tip I can give is to use baby powder (as yogabeachbabe said). I put more on in between each application, and it stops the wax from gripping onto your skin - it just grabs the hair. Rip it off against the hair as well, not in the same direction that it's growing. I wax my best friend as well, and she gets overexcited with the baby powder, tipping piles of it all over her and all over my house - she knows it stops the pain! Once you get used to doing it yourself it's really very easy, although if you don't do it properly you will get ingrown hairs.
On a side note, when I go to a salon I don't mind getting a brazillian... but my beauty therapist refuses to let me leave until she's done my eyebrows, which makes me kick and scream and tantrum - they hurt a billion times more than anywhere else. So if you can put up with that then you'll be fine with a brazillian ๐