One isn’t better than the other and it will simply depend on personal preference and with any hair removal treatment, there’s always some risk involved.
If you’re thinking about using wax to remove unwanted hair, it might not be a good idea if your skin is sensitive or you’ve had an allergic reaction to waxing in the past.
Shaving is usually a better option if you’ve got sensitive skin as long as you prepare well and are gentle - razors are sharp, after all!