Also lived in Shenzhen for three years (though not really - Hong Kong, and thus home, is too close; I'd do Shenzhen during the week, Hong Kong on the weekends - plus, I never had a 'home' in Shenzhen, used to live in a hotel 3-4 nights a week).

I generally had a good time. It's an intriguing city for sure, but its still trying to find its feet culturally - it's perhaps more so the 'New York of China' - but think EARLY New York, than Hong Kong - and that's due to the huge wave after wave of people that have moved in from different parts of China to make a living here.
I recently saw population statistics; only 2 million out of the reported 11 million population of Shenzhen are acutally registered within Guangdong (and out of those 2 million, most are first generation too) - a fact that's well represented by the fact that very few people in the city speak Cantonese, the regional dialect of the area.

I lived in Nanshan, and quite liked it - it's far more relaxed than Futian (and Luohu is a dump). Shekou is a short distance away. There's some good food in Shenzhen if you like reigonal Chinese cuisines, particularly Sichuan, Xinjiang and Chaozhou (Chiu Chow) cuisine.I even found some other types of cuisine better in Shenzhen than in Hong Kong (namely pizza and Indian food).

There are also some surprisingly intruiging areas; Xichong beach is quite gorgeous, if not for the swathes of people that frequent the place on a weekend (and there's no accommodation even touching reasonable).
Dameisha is the more popular beach area, but it's a lot more sterile (and fake?) and I can't say I like it as much; there's a Sheraton and a few hotels there.
There's also the Yantian area - overlooking the gorgeous Plover Cove Country Park and bay, on Hong Kong side, which has a Fraser Suites that has a stunning view (and infinity pool).