Shenzhen has a few campy tourist attractions - Splendid China, Windows of the World (mini-replicas of various monuments) and the Minsk aircraft carrier - but these exist more to cater to mainland visitors.
While living in Shenzhen, my inner New Yorker compelled me to explore numerous neighborhoods throughout every district. If you're willing to dig deep, you can check out a slice of Hong Kong history in
Nantou, visit Xichong beach in the extreme east of the city or amble through one of the many parks, often while encountering an impromptu dance or workout session. If you're in town now, try to get some lychees too.
However, by far my favorite activity in Shenzhen is eating regional Chinese food. Whereas Guangzhou has more standard issue attractions and is a hub of Cantonese cooking, Shenzhen I feel surpasses Guangzhou in terms of availability and quality of regional mainland dishes.