I have sensitive skin as well, and I find that most cream based hair removals, such as Veet or Nair work fine if they're the sensitive skin formula and uh, depending where you put it. I've never tried wax because I'm a wimp. I get my eyebrows done and that's enough pain, I couldn't imagine my legs. I wanted to try sugaring, but to me its the same thing as wax, but I bet its a lot better for skin since its a sugary paste.
The only problem with creams is I find some times they don't remove all the hairs even after the time you leave it on, and this is a pain since you aren't supposed to shave before or after you use it. It says you can leave it on up to 10 minutes, but this is frustrating because you have to do a test patch to find when it is actually working. But everyone's hair is different, so you could give it a run.
P.S. If you decide to try sugaring, let me know how it works