Shopping is the main reason to visit this Chinese city located on the Hong Kong border.  Shenzhen is a 40 minute train ride (MTR/KCR) from downtown Hong Kong and visitors do need a passport and visa to enter China.  One journey visas to Shenzhen are available at the border in Lo Wu, at the train stop. Be aware that U.S. passport holders cannot get their visa at the border. U.S. passport holders need to apply for the visa before leaving Hong Kong as they will be turned away at the border. Please note that due to the Olympics many of the visa rules have changed and it is not currently possible to get visas at the border.

The most convenient shopping area is the Lo Wu Commercial Center, a giant shopping mall.  If you are a retailer, this is the place to go to see who is knocking off the latest Rolex watch or Gucci bag.  Of course, the mall has lots of great designer products at prices much more competitive than Hong Kong.  There are also great deals on services - among the biggest bargains are manicures and tailors.  I know of several people who live in Hong Kong and take train trips weekly to Shenzhen to get their nails done!

Going to the tailor in Lo Wu is another great bargain.  Clothes can be tailored cheaply and quickly.  Most of the tailors are located in the Fabric Market - most of the elevators have floor plans. 

Several of the major hotels offer 1 day shopping trips to Shenzhen, and this may be a convenient way to visit without taking the train by yourself.  Lo Wu is relatively safe - as a female, i never felt uncomfortable, but take the usual tourist precautions in the train station and in the mall.