IME the HK sims I've used are almost on par with local sims + VPN in terms of both speed and latency. But, if you fancy accessing Google on a computer without tethering (which isn't always good option in some buildings), you need a VPN anyway.

At the risk of beating a dead horse, it would behoove anyone who goes the VPN route to get one that works well (i.e. freeware or y10/month services are usually a complete waste of time).