You didn't say how long you'll be in Hong Kong. If it's more than 2 or 3 days, I would recommend a day trip to Shenzhen. It's a very different place than Hong Kong, and you'll get at least a taste of mainland China. You can definately get all sorts of goods at bargain prices, plus I think it's a fascinating place to visit if for no other reason than to just see the contrast. Be sure to NOT make the mistake that most Western tourists do in sticking only to the huge shopping malls that are within a couple of blocks of the border. Take at least an hour to just walk around a little.
On my first trip to Shenzhen, I spent half a day just walking around town (I probably walked at least 3 miles north of the border, and eventually reached residential areas). It was one of the highlights of my visit to Hong Kong.
<font face="Verdana, Arial, Helvetica, sans-serif" size="2">Originally posted by tbear:
You can take a train to Shenzhen from the Kowloon Canton Railway Station. </font>
This is definately the way to go. Take the KCR to Lo Wu station. The border is right there as you get off the train, and most of the shopping is right after you cross the border.
<font face="Verdana, Arial, Helvetica, sans-serif" size="2">But you're going to need a China visa which will cost you at least $50 depending on how fast you need it. Since, you're in NYC, apply at the Chinese Consulate in person. You can't do it by mail (direct to consulate) anymore and the US based visa service companies charge too much for their fees.</font>
Actually, this is not true if you plan to visit only Shenzhen. It's true that a visa is required in advance to visit most of mainland China, but there is a Special Economic Zone (SEZ) Tourism Visa that's available for Shenzhen. In addition to being cheaper than a regular visa, the main advantage is that it is issued on the spot at the border, so you don't have to deal with a Chinese embassy/consulate or travel agency, or make any advance arrangements at all.
The SEZ visa costs HK$100, or about US$12. It is valid for a stay up to 5 days (well, really 5 nights so up to 6 days) in the Shenzhen SEZ. This gives you access to all of the city of Shenzhen, and probably some of the outlying areas, but does not extend as far as Guanzhou. Assuming you have a qualifying passport (which includes a US passport), after you cross into China, follow the crowd but keep left. Before reaching the immigration counters on the Chinese side, make a left u-turn and go up the (broken) escalator. At the top there will be an office where you fill out a short application, pay your HK$100, and wait about 10 minutes. You'll then get your passport back with a SEZ 5-day visa affixed which will let you proceed through the immigration checkpoint downstairs.