It's a good idea to know what the prices are at home for the model you want before you go. Then it's upto you to do a bit of walking - I'd suggest around Mongkok. Good place to start would be the mobile companies and Fortress - they're a good place to buy at a fixed price. If you're then up for it wander over to Sin-da (or similar spelling) shopping centre to see if you can get a better price. Generally the further upstairs you go the cheaper the price should be.

Tip: if you buy here and not from a major company get them to turn the phone on, put your sim in and make a phone call to confirm it works.