I bit the bullet and started going "all the way" about a year ago (I've gotten a bikini wax for years). It did not hurt as much as I thought it would and I was VERY happy with the results. Don't get me wrong - it hurts, but the results get rid of any pain - and it's usually quick pain.
You should not shave before you get waxed. They need the hair longer so the wax and strips have enough of the hair to pull. It's a lot harder (and more painful) if it's shorter. The results stay for about a month depending on your hair type.
I am currently shaving because I'm trying to pay some bills, but I can't wait to treat myself. Try to get good recommendations of where to go. That makes all the difference, too.
Oh, and my hubby LOVES the results as much as I do.
Good luck!
Added: I'm sorry, but LeeLee must not have gone to someone who knew what they were doing. I've been to many, many different people and have never heard, shorter is better. I was actually too short one time and it was EXTREMELY painful. Also, the nice thing about waxing is that when it grows in, the hair is very thin so you don't get bumps or itching. I hate when I've shaved and it grows back in - that is annoying.