Why am I researching this? Impossible to say without divulging too many personal grooming secrets. But, the consensus seems to be that despite all the old stories and "common knowledge", shaving doesnt actually make your hair grow back any thicker or darker:
Of course, the definitive answer comes from the Wikipedia article on shaving. The catch? Because hair is often darker at the root and because shaven hairs have a blunt end, they tend to look thicker and darker as they're growing back. But there's no need to worry about becoming an enourmous walking hairball due to frequent shaving.