If the itching is accompanied by a rash, it might be a different condition, such as exercise-induced anaphylaxis (see Embarrassing Running Problem #6).
Causes: The most common cause of itchy legs is actually because of what's happening inside the skin, not on it. When we exercise, the millions of tiny capillaries and arteries inside our muscles expand rapidly because of the demand for more blood. If we're fit, these capillaries remain open allowing maximum blood passage, but, when unfit and inactive, they tend to collapse, allowing only minimal blood passage (which, by the way, is fine for a sedentary person). The expansion of the capillaries causes adjacent nerves to send impulses to the brain, which then reads the sensation as an itch.
Prevention: The problem should go away once you have increased your fitness level.
Dry skin is also a common cause of itchiness, so if you think that's your issue, try using a moisturizing oil or lotion, especially after your bath or shower. You may also want to change your laundry detergent to one that contains no perfumes or dyes.