It's a very common method of hair removal. In this method the chemical depilatory lotions or creams are applied on the skin and left for some time. These contain certain chemical like sodium thioglycolate, or calcium thioglycolate which have a very low pH and dissolve the hair by disrupting the sulphide linkages present in the proteins of the hair.
It also exfoliates the over dead surface of the skin. So skin feels softer and smoother.

Advantages
Cheap, fast, easy to apply and simple method
Can be done at home.
Available over the counter.

Disadvantages
Can be allergic to some people due to chemicals
Can cause skin irritation and rashes. So don’t forget to do a patch test.
Not to be used on the sensitive areas of the body.
Some people complain of unpleasant odor,
The results among different people vary a lot.