1. We will definitely go to Macau; should we make it a day trip from HKG or spend a night. If spending a night, is it better to do this at the beginning (directly from airport) or at the end of the trip?
Overnight. Stay @ the Venetian, See the new Cirque de Solie show..
Spend the next day sightseeing and come back to HK
2. We would like to visit Shenzhen. Is this also a day trip or should we spend a night? Do we need a Chinese visa for this?
You need a visa. If you have a American passport this must be done in advance, but can be accomplished in a day with 'RUSH' service fee or a couple of days standard time. If you have most other passports, you can get a 5 day visa @ Lo WU border crossing.
Spend 2 nights there. 1st day go shopping and get the clothes and glasses and things that might take time. 2nd day see touristy stuff like Window on World, or the aircraft carrier. We like the Daufun Art village too. Third morning get your glasses/clothes ect.. train back to HK
3. Ocean park and Disneyland. We are a young couple in our 30's traveling without kids. Should we do both? Would Disneyland be worthwhile for us (we lived in Anaheim, CA for a while, with CA Disneyland next door).
Disney here blows goat chunks... don't even think of wasting your time.
Ocean Park is a better choice. NOT California good, but a good day out.
4. Hotel choices. I am an SPG member and I have 100, 000 SPG points I can spend on a nice hotel. My hotel SPG choices are:
Defo NOT LeMeridan.. its not at all convenient. If you have status, try the W. Its in a great location with easy train access. If you want to have a more local kowloon (~read dirty Indians harassing you) type of experience.. then the Sheraton. W has nice pool too. Stayed a lot at Both.. W is better.
5. Any other suggestion on how to structure the trip would be greatly appreciated. We generally love food, sightseeing, museums, an occasional club or two. We are laid-back, but also like adventure tours, etc.
Day trip to Lantau ~ take Subway from under W @ Kowloon Station to Tung Chung (Orange Line) get cable car tickets 1 way up to Buddha.. check that out. Then hop bus from Buddha to Mui Wo.. and have a couple beers and lunch @ the China Bear. From there take fast ferry back to Central, and then either Star Ferry back across to Kowloon, or go into IFC mall and take subway (Orange line starts here.. one stop to Kowloon station and W)
WEDNESDAY. Go to Horseraces @ Happy Valley. EVERYBODY goes.. Beer Garden atmosphere.. Tonnes of expats.. great night out.
When going up Peak, take the Peak Tram Funicular one way.. then walk the trail @ the top.. most people miss this and it affords a 360 degree view of the island. About 3KM of level paved trail. Lots of Moms with strollers.. EASY walk. THEN walk down via Old Peak road back into Central and stop by Hong Kong Park just South of Robinson rd to see the animals.. sorta a free zoo.. from there some booze in Lan Kwai Fong. 
well earned after all that walking..
Lots of other sh*t here.. I've been touring family and friends around since I moved here.. PM if you have more questions..
Here's a link to China Visa
http://www.fmcoprc.gov.hk/eng/zgqz/blsjfy/
Note $1100 HK for Americans. Hope you have another passport!!!
Not sure I would bother for that amount.. I have 12 month multiple for 500 in mine..
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