Shenzhen is, along with Macau, the quickest, easiest QuickTrip from Hong Kong (if you don’t count worthy destinations within the Hong Kong Special Administrative Region). Shenzhen is close enough to go for a day or even part of a day but has enough to entertain a visitor for many repeat trips (by population, Shenzhen is actually bigger than Hong Kong, and so it makes sense that it has a lot to offer). A border crossing and a significant difference in environment add to the feeling of adventure.
The logistics. First, you need a visa (assuming you are not a PRC passport or travel document holder), which is pretty easy, especially in Hong Kong. You can go directly to the China visa office located near the convention center in Wan Chai, or you can go through an agent such as CTS or Swire. As a tourist, you are unlikely to get a multiple entry visa, but you should be able to get a multiple entry visa if you have the right credentials for a business visa or if you have a Hong Kong ID Card. The process will likely cost you over USD 100 if you are an American citizen (thanks to reciprocity), or somewhat less if you are from elsewhere. Citizens of countries other than the United States and the United Kingdom, I was told once, are able to get a special Shenzhen-only visa at the border crossing, although I am not familiar with the process.
To get to Shenzhen, you have two principal options: train or bus. The KCRC East Rail starts at Tsim Sha Tsui (or TST) East Station, goes through Hung Hom, Mong Kok and Kowloon Tong stations in Kowloon and heads up to either the Lo Wu or newly opened Lok Ma Chau stations, which are connected to border crossings (Luohu and Huanggang, respectively). The train runs every few minutes from around 6:00 AM to midnight and costs about HKD 35 (USD 4) for the run. The bus leaves from a few different locations throughout Hong Kong, including the CTS office on Hennessey Road in Wan Chai, and goes to the Lok Ma Chau/Huanggang border. Which you choose can depend on where in Shenzhen you want to go. The Lo Wu border offers the main Shenzhen train station as well as a down-and-dirty mall featuring all your immediate needs, such as counterfeit goods and tailors, while the Lok Ma Chau border is closer to other parts of central Shenzhen, Shenzhen airport and the amusement parks in Shenzhen. The bus costs a bit more but can be convenient, especially at times when the train isn’t running or on the way back from the airport (the guaranteed seat on the bus can be a little more comfortable than a potentially crowded train requiring a change of transportation in TST).
Attractions. What is there to do in Shenzhen? A lot. I am by no means an expert on Shenzhen, having only been up a handful of times during my years in Hong Kong, but below is a short list. None of them may be world-class attractions, but they’re good diversions for all or part of a weekend.
Restaurants. Food in Shenzhen is outstanding, and cheap. Shenzhen, perhaps because it is a city of immigrants from other parts of China, offers an outstanding array of restaurants featuring all Chinese cuisines. Many of these restaurants include outposts of famous Chinese restaurants based in other parts of China, including restaurants that have not yet made it across the border to Hong Kong. On our last trip, we went to Mao Jia, featuring food from Mao’s hometown of Shaoshan in Hunan province. Restaurants are well-decorated and spacious, offer a high level of service and cost about a third to a half of Hong Kong prices.
Shopping. I haven’t done too much shopping in Shenzhen, but right at the Lo Wu/Luohu border is a multistory mall featuring countless shops selling cheap but creatively designed clothes, jewelry, tailors, counterfeit goods (watches, handbags, DVDs), souvenirs, cheap electronics, etc. Quality can vary, but the prices are good. Shopping for genuine brand name goods is generally much more expensive in Shenzhen than in Hong Kong.
Spas. Shenzhen (like many other big Chinese cities) has many huge spa complexes (the one we’ve been to is called Pacific (not too far from the Luohu train station)). The best description of these spas is a Las Vegas casino, but with spa services instead of gambling. Pacific (the neon sign says “Pacific Lay Fallow Agora”) features large dressing rooms with huge jacuzzis, sauna and steamroom (and attendants who help you undress and dress), comfortable chairs with personal televisions in which you can sit eating fruit while getting foot massages, a restaurant, massage rooms, small sleeping quarters, karaoke, a computer room and many other facilities. Massages are quite affordable, of course, and use of the sleeping chambers (to nap or to save on lodging) is included if your bill exceeds RMB 138 (about USD 18).
Historical/Cultural sites. Surprisingly, within Shenzhen city limits or just outside there are several historical/cultural sites worth visiting. To the north in Dongguan city are the Humen fort, an Opium War site, as well as Ming and Qing dynasty villages. On the highway toward Shantou, within city limits, is an interesting fortified village. We have also been to Dapeng fort, which is somewhat far to the East (1.5 hours by bus), but a well preserved quiet old town.
Amusement parks. Shenzhen features several large amusement parks. Splendid China contains miniatures of all of China’s great historical and cultural sites and is adjoined to a folk village containing homes of China’s various minority groups (from Uyghurs to Dong to Koreans, many of whom put on song-and-dance shows). Windows of the World includes scale models of famous world landmarks, some rides and a rather crazy over-the-top show, as well as indoor iceskating and skiing. Minsk World is an old Soviet aircraft carrier that has been turned into something of a Russian military amusement park, and is somewhat less worthwhile than the other two, though there is the novelty of being on a Soviet aircraft carrier.
Beaches. We’ve never been but are told that there are some nice beaches, where you can hang out or rent motorized vehicles.
Nightlife. We are told that there’s great nightlife in Shenzhen. We have been to one gay bar which was surprisingly lively and upbeat.
Travel to other parts of China. As I’ve discussed previously, Shenzhen can act as a gateway to countless travel destinations, mainly in China. The train station is right at the Lo Wu/Luohu border and the airport is a 30 minute drive from the Lok Ma Chau/Huanggang border. Buses leave for destinations in Guangdong province as well as Yangshuo/Guilin. And you can also take the new high-speed train to Guangzhou in about an hour.