The best thing about the Airport Express is : You can check-in at the station for most airlines. You can also check-in one day ahead for a lot of airlines, that means you can actually check-in for your next flights before going to the hotels, if you do not need anything from your check bags for the night. If you decide to stay in the city and utilize the Airport Express, be sure to buy the tickets at the customer service counter. They offer round-trip ticket for lower price than buying two seperate one way tickets.
The Airport Express also offer free shuttle to different hotels. You can check out the website at:
http://www.mtr.com.hk/eng/train/ae_intro.htm
It depends on your arrival and departure time the next day. If you depart in the afternoon, it worth the effort to stay in the city. If you arrive late and depart early, just stay at the Regal Airport.