Cons: When it grows back, you'll have to continue to shave it. Hair doesn't grow back thicker but follicles are thicker at the bottom, so when it grows back from being sliced at the bottom, it will appear thicker. I'm pretty sure this applies to arm hair as well. If you never shave the hair on your arms, it is thin and won't affect how soft your skin feels.
PROS: fast (good for fashion emergencies), cheap, portable (can be used even not at home), convenient/easy, you can do it yourself (ofc waxing can be done by oneself, but others prefer to be done by a pro), available in convenient store
CONS: grows fast, thick hair grows back, should be careful not to hurt oneself, takes some time (to know how) to get the perfect look you wanted, can cause darkening (possibility)
I shave my arms, and I fell so much better with them like this, I also heard about lotions that lighten hairs and some that even reduce hair growth, and I've started to use on on my legs and it works so well...