i've always found that mens disposable razors work really well. especially the schick fusion they just came out with. they really get the closest shave.
also the schick quattro for women works pretty well too.
Can I make a non-recommendation? Don't use the one with the block of 'moisturising cream' round it, it's not a very close shave, and I've always found it dries my legs out horribly.