When they remove EVERYTHING, it's actually called a Hollywood or a Sphynx. A Brazillian leaves a small strip (sometimes called a landing strip) at the top. Most do this because that area is said to hurt the worst.
I agree, the grow out it the worst if you've been shaving. If you've never shaved "brazillaian style" then just trim it to 1/4 inch before going in for the waxing. Get it as close to 1/4 inch as you can. Any longer it'll be more painful, any less and the wax won't adhere to the hair inorder to remove it. After you've waxed and it grows out again it will be soft and won't itch. However; the hair grows in 3 stages, so it can sometimes take 3 times for it to be it's softest. Though it won't even be close to the prickly-ness shaving. The other great thing about waxing, is that it damages the papilla (or root) of the hair which diminishes the growth, eventually the hair will just give up and stop growing. I've been waxing my legs for about a year and a half and hardly have any hair left.
Anyway, I'm an Aesthetician and waxing's my thing :) I love it. So that's my reason for the indepth waxing info. Hope it helps!
Blessed with her Prince Charming
Awaiting the big day 10-4-08!