If you can get into HKG, Macau is generally no problem (but you can only stay 30 days as a U.S. or Canadian w/o a visa).
The immigration requirements tend to mirror those of HKG absent the special treatment of Commonwealth nation passport holders.
This service looks very interesting. Crossing into Shenzen using the KCR at LoWu can be truly hellish.
[This message has been edited by HKG_Flyer1 (edited 10-06-2003).]