You might want to spend a day in Macau. The Jetfoil is fun (for the first 20 minutes) and a drink at Pousada de São Tiago is worthwhile. (Get a 1st class ticket on the Jetfoil unless you're interested in seeing what the person next to you had for lunch.)

Also, taking the train or bus to Guangzhou and nosing around is interesting. (US citizens need a visa.) This excursion is a couple of days to even touch. Some 3d world experience is helpful.

I guess you might want to go to Stanley on a day trip along with the rest of the tourist masses. This is easy by bus from Exchange Square in Central. Sit on the right side, if possible, going to Stanley.

Skip Shenzhen.
Rich