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 Luohu 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 Louhu 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.  Luohu is relatively safe - as a female, i never felt uncomfortable, but take the usual tourist precautions in the train station and in the mall.

The Luohu Commercial Centre is typically the best place in Shenzhen to find deals on copy watches, handbags, and to get any tailoring you want done.  I typically find that the electronics are very poor quality there, and if you purchase anything try it out first.  The replica watches and handbags and tailoring typically offer a 1 year warranty if you go back to Luohu to get whatever fixed.  

 If you're looking for the better bargains in Shenzhen, they are found in Dongmen.  You can get there by taking the Lubao train line (the green line) to Laojie (2 stops before Luohu).  This area is packed with thousands of shops, and nobody ever pays asking price.  This is a great place to find bargains.   

 Dongmen is safe, but there are always millions of people there and pickpocketting is common, so keep an eye on your purse and wallet.  There is no warranty on anything you purchase here, and everything is of varying quality, so, make sure to check your items carefully before purchasing.  If you have ever wanted to know what 3 million people shopping looks like, it's a great place to go to take pictures.

If you want electronics, go to Huaqiang Bei (pronounced Hua shyang bay).  Huaqiang Bei can be found off of 2 metro lines, and is clearly marked with this name, so, it is very easy to find.  This is the electronics market, and features 1000's of stores geared towards electronics.  Again, nobody ever pays asking price, so work on your bargaining skills.  This is also the place where you go to get copy cell phones, tablets, camera's, etc.  anything to do with electronics can be found here. It is also the best place to find the cheapest accessories for your electronics including cases, battery chargers, spare batteries, and absolutely anything else you can imagine.  If you want to upgrade your laptop, bring it with you, and you can get more memory installed, and any software that you want for a fraction of the cost.