Ferry is the fartest. There are ferry between Shekou Port of Shenzhen and Taipa Ferry Terminal as well as Macau Ferry Terminal. You can choose according to your destination of Macau. The last to Taipa terminal is 17:30 and the last to Macay Ferry Terminal is 19:30. Arriving in Macau one hour later.

I think it is the best for it takes only one hour while the bus will take three hours. Taipa Ferry Terminal and Macau Marine Ferry Terminal all have ferry boats to Shenzhen. Taipa only has three every day, so Macau Marine Ferry Terminal is better. It has ten ferries from 9:45am - 8:45pm. The ticket is 170MOP.