Originally Posted by
ijgordon
As rkkwan said, if you tack Macau on to either end of your visit you can save one trip through customs by taking a Turbojet ferry direct between Macau and HKIA, in which case you do not have to clear HK immigration. Unfortunately, the airport ferry schedule is not particularly frequent or convenient.
The Macau->HKIA ferry schedule is not very frequent, not conveniently timed and often some of the more useful departure times will sell out of economy class seats because large tour groups are headed from Macau back to the PRC via the ferry and HKIA. Fortunately "super class" ferry tickets aren't really that much more expensive and beat getting up two hours earlier or somesuch.
Also the Macau->HKIA check in and transfer experience is somewhat annoying. But despite that I still usually end up using the Macau-HKIA service because it's still less hassle overall than the alternatives.