I think we've all come to the conclusion that twisted shafts wouldn't work so well. Can you just imagine trying to shoot one of those around an accident prone person?

As for them being harder to remove (you probably already know this, but I thought I'd mention it anyway), in medieval times archers would use wax to put their arrowheads on the shaft. When trying to remove an arrow from a person, the arrowhead would fall off. And if a broadhead arrowhead was used in this case, a victim could bleed to death without proper medical attention.

A note on crossbows. They actually go incredibly fast, and rival modern sniper rifles as far as accuracy, power, and range go (with the exception of the computer guided technology in extremely modern rifles). The problem is that they are so heavy, hard to move and set up, and require multiple people to use it. The hand-held crossbows are different, but still have similar problems (with the additional one of a comparatively low firing rate) and strengths. And yes, they do use fletching as far as I know.

Twisting an arrow shaft is actually not as bad as it sounds, as long as you don't do too much of a twist. Making it look like a corkscrew is quite obviously a bad idea in all cases except for decoration or as a torture instrument. But if you look at the rifling in a gun, it's really very slight. If it was a steep twist, you'd create too much resistance. So if you had the arrow not perfectly round, with a slight oblong shape to it or a slight ridge that makes maybe one full turn along the length of the entire shaft, it might indeed be a good idea. It wouldn't mess with aiming, and it probably would improve the flight and accuracy. It would be harder to make, of course, and thus raise the cost, but for a top-notch archer, it might be worth it.