I've spent a bit of time in Guangzhou, mostly on trade missions, but with the odd half day. It's not my favourite Chinese city by any stretch of the imagination - but I've never had any particularly 'women only' related experiences (well, not from the locals anyway - my consular staff yes, but that's a different matter!). I did tend to stay in the White Swan though (which is firmly in my top 5 hotels of the world), and not wander too far from there.

Shenzen is a new city - growing enormously fast, but I actually did prefer it to Guangzhou. Might be because I had a surreal brothel experience there which always makes me laugh to think about it... It's a real boom town, attracts people in their thousands from rural, western, poor China. You can actually see Hong Kong from Shenzen, and with the right kind of visa, you could go visit - but you would need a double entry stamp, since the border crossing from HKG to Shenzen requires a new China visa.