It is worth to travel to Zhongshan.
If you want to go shopping, you can go to these places:
Zhongken Department Store, Holiday Square and Super Market
Trust-Mart.
As to nice food, you should try the local snacks. The black tea, dried rolls of bean-milk cream, mango, the mushroom glossy ganoderma and Tuckahoe of Wugui Mountain are favored by both locals and visitors.
You can stay in Zhongshan Guomao Hotel.

The best way to travel from zhongshan to Hk may be by Ferry. You can go to Zhongshan port to take Ferry to Hong Kong.