Central on Hong Kong Island is the CBD, but Tsim Sha Tsui has more restaurants and hotels. There are shops everywhere in Hong Kong. And Central gets quieter at night, as you can expect. Mong Kok and Causeway Bay are the areas that most locals go dine and shop, and get livelier in the evening.
There are lots of threads here about HK and transportation. And you should look into guidebooks too (either paper or online). Forum like this is better for specific question than for very general questions like yours.
<US$25 is for a 40-mile ride between two separate "administration" regions on some of the fastest passenger vessels in the world. It may not be very cheap, but I don't understand why you sound surprised. And it's either Macau or Macao, with only one C.