All depends on what you are looking to do and what you're likes and dislikes are. I, too, am from So Cal, and also lived in HK for ~ 2 years. Whenever my wife and I go back to HK for a visit, even on a 4-5 day trip we always go to Shenzhen just to shop at the Lo Wu Commercial Center right outside the train station.

The train ride is easy (~ 45 mins from Hong Hom) and going into Shenzhen after HK is a bit like going into Tijuana from LA (although Shenzhen is a more interesting city than TJ, it's just that the contrast is striking because once you cross over into China, it does feel quite different.

The shopping center has restaurants, a grocery store, and probably about 1,000 little shops with people selling a wide range of copy merchandise. Panerai watches, Brietlings, etc. as well as shoes, handbags, DVDs, computer software, scarves, tailored clothes, jackets, suitcases, etc. You must bargain for everything, and the sales people tend to be pretty aggressive in terms of bothering you in the halls, on the escalators, etc.

So, if you enjoy buying that kind of stuff like we do, and don't mind all the people (and people who bother you to buy stuff from their store) it's a lot of fun. The restaurants are pretty good (little to no English spoken though).

We have ventured out on the streets of Shenzhen, which was interesting a fun too. Didn't feel as safe as in the shopping center, but nothing bad ever happened to us or anyone else we knew who explored, although HK locals tend to tell many cautionary tales and don't seem to like going there. We did find some weird shopping areas as well as some interested street food (highly seasoned meat on skewers that tasted good, but we still don't really know what animal we ate).

Again, depending on what kinds of things you like to do, Shenzhen can be a really fun day (or 1/2 day trip). Some people love it (like us) but I also know some people hate it, so it really depends. I love my fake watches, and my wife, her fake bags, and the stories of the experiences of buying them is always something that brings a smile to our faces.