longtimelurker: If you are going to try a hair removal cream (Veet (former Immac, if you didn't know the name) or any others) then for God's sake TRY IT SOMEWHERE NON-SENSITIVE FIRST!!!!
I'm really sensitive to these things for some reason (even the sensitive versions) and it burns my skin to hell and leaves me with a nasty red rash. I tried on my face when I got fed up with shaving once (I get razor burn) - never again!
If they work for you then they can be a godsend (I can't personally imagine why painful waxing is so popular when you can cream them instead), but they do effectively dissolve the hairs, so you don't want to use it somewhere too delicate the first time round in case it dissolves anything else! Armpits and chest/back are probably the safest places to try.
As for the itching, I believe (may be wrong) that creams/waxes etc. are better than shaving, as shaving leaves a flat hair tip, whereas removing the hair completely by wax, cream or plucking leaves a rounded hair tip, which is less irritant.