Probably the safest bet is to buy the phone from one of the major retailers, namely (as already mentioned) Fortress or Broadway. They are much the same and the retail price is pretty much the same across the board.
I've had luck in the past heading over to the Wanchai Computer Centre and getting a bit better discount, or better "freebies" thrown in then I would have got with Fortress / Broadway.
Goes without saying, make sure you double check everything, Hong Kong has really poor consumer protection laws and it is very much "buyer beware" here.