Goto Window of the World!
worth going to. entrance fee is CNY 120.
take subway (metro) line 1 to from Luo Hu to the end of the line at station Window of the World.

U can take KCR (Kowloon Canton Railway) from HK to SZ, it takes about 50min.

I'll be going in next Feb, trying to find out more info about SZ and GZ.

Regards,

Main attractions of Shenzhen are very good and not too expensive restaurants- around $ 15 per head and you are full ,excellent massage places- around $ 20- for 3 hours, And all this is open 24 hrs. Night clubs - so many. Good hotels around $ 50.00 per room. Good metro to travel and taxis. Many high class shopping centres, and also 5-6 storey market next to crossing border with Hong Kong-Lo Wu with all fake copies(some probably made in same factories as original ? Yes good quality). Crossing to Hong Kong very easy. Train, buses, ferry, etc. Around Shenzhen few good size parks.

There are too many attractions to list! Let me warn you about transportation from HK airport. It should cost you no mor than 200 HK dollars to get to the Chinese border, that is taking a group van. You may also take a bus. From the Chinese border, a taxi ride should cost you about 50 Yaun , or 7.50 USD. I just got back and I was taken for a real ride coming from HK airport. I ended up paying about 275.00 USD. So be careful.

Just in case you didn't know it, and as no-one else has mentioned in their replies, you will need a Chinese entry Visa to cross from HongKong to mainland China (Shenzhen)

Except for taxis do not take any other form of transport from Hong Kong Airport. The airport charge operators very expensive franchise to operate from there so they in turn rob the passengers. The taxi from airport to SZ is less than $200. while a bus is $HK$150. As taxi can seat five people. If possible avoid Hong KOng Airport. Fly to Macau or Shznehn direct. Airport fees much better than Hong Kong.