Can you recommend me which sim card should I choose in shenzhen?

Generally, sim cards of China Mobile an Unciom are recommended. But you should figure out which communication carrier your mobile phone accepts first. Both of them provide several kinds of sim cards in order to meet different clients' demands. You are suggested to consult the staff when you arriving there.
They have many branches in this city. For example:
China Mobile: 102, Building A, Jinfengcheng Building, No.5015, East Shennan Road.
China Unicom: No.3, East Longguan Road.
You can find one nearby your living place.