I just bumped into this page at the Bicycles at StackExchange, which talks about how shaving limbs can help a cyclist.
Does the same apply to climbers?
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It's not as clear cut as for cycling. For cycling you have definite benefits, and of the 3 listed in the accepted answer on the cycling page:
Are really not an issue in climbing. Crashes in cycling often cause road rash, where dirt, grit, and hair are forced into a surface wound. This is not your typical climbing injury.
The third one,
Is in my opinion nonsense. You can have a massage just as easily with hairy legs (disclaimer - I don't have hairy legs; I'm going on hearsay from colleagues and friends)
The other answer, around wind resistance, may or may not be true - but in any case it does not apply to climbers :-)