Hong Kong's weather is mainly hot and humid. Best time to visit is November to January. The temperature's usually around 20-23 degrees celsius, not much rain, sunshine most of the time, and not humid at all. It's a wonderful time to visit. January and February can get quite chilly, however, and there have been a few 9 degrees in the past 2 years. Note that eventhough it says 9 degrees which sounds mild to Europeans, the biting Siberian monsoon wind makes it feel even colder than the 9 degrees people are used to in the West.
Late February / March starts getting a little warmer again, and begins to feel quite humid with considerably more rainfall. April to June are the wettest months, and most humid. Breathing practically becomes unbearable in polluted areas like Central, Causeway Bay, and Mongkok.
July to September is typhoon season, although there haven't had many terrible typhoons in the last 3 years. The temperature rises to as high as 34 degrees, however!
October is still warm, but cooler than summer months, and still some rain.