Fallacious yet widespread and documented beliefs courtesy of Wikipedia.
Shaving does not cause terminal hair to grow back thicker or coarser or darker. This belief is because hair that has never been cut has a tapered end, whereas, after cutting, there is no taper. Thus, it appears thicker, and feels coarser due to the sharper, unworn edges. The fact that shorter hairs are "harder" (less flexible) than longer hairs also contributes to this effect. Hair can also appear darker after it grows back because hair that has never been cut is often lighter due to sun exposure.