I don't get anything out of the act, but I do like the feel of a good close clean shave (legs or face). I find leg-shaving much easier. Facial hair seems coarser and stiffer, I get some irritation on my neck, can't get all of it shaved. The best shave I can get is if I let it go for a day or 2 and then shave (and get ingrown whiskers if I'm not careful or use a blade that's gotten a bit dull). With legs I don't get any irritation, I can get them totally smooth (and I don't have to do it so often).
I'd rather shave my legs than my face. I'd like both to be smooth most of the time, although I'm not too concerned if my legs aren't smooth or hairless all of the time (and there are times I like to grow the whiskers).