During waxing, the wax is spread on in the direction of the hair growth, and pulled out against the growth. In sugaring, the 'ball of sugar' is spread against your hair, and is flicked out in the same direction as the hair growth. So they are opposite in that way, but have equal pain associated with them. Waxing is better for legs because it can be done on larger areas and is thus faster, and sugaring is best for sensitive bits because it doesn't remove any skin during the process.
Shaving is just scary to me! More so than having a stranger with hot wax or balls of sugar near my private area. It's easy to cut yourself, and the regrowth is much thicker, spikier, and more itchy! Eek