If you've never been in China before, then it's worth experiencing Shenzhen for what it is: the face of Modern China. All that in about 30 years.

Lots of good food at good prices from all over China in Shenzhen. But apart from the food and the experience itself, there's nothing particular I'd send you off to see on a brief trip. A Chinese Walmart, maybe? Dafen, the fake painting village? It's right behind Walmart.