I would have to say Shenzhen conclusively will be the best choice.
Shanghai is the most expensive city among all three. So it is obviously out. As a foreigner, the close proximity of Shenzhen from Hong Kong is your biggest advantage. Some people may find it difficult to live in a city where they can't communicate. With SZ, at least you will have the luxury going to Hong Kong during the weekend to "balance" yourself. Also, depending on you job, living in Hong Kong could be a remote possibility. Guangzhou is a center of the province. But it is simply too far away from other major cities.