Skin on the legs does not produce as much melanin as skin on other parts of the body. Melanin is the key to darkening the skin through tanning, so legs do not get as dark as the rest of the body.
Shaving is another factor for women's legs. When women shave their legs, they exfoliate the top layers of skin, which can remove part of the tanned skin. The effectiveness of tanning can be increased on the legs by shaving them on days when you are going for a tanning session and using a bronzing lotion to boost their color.