I went there last month and the visa application was very simple and quick.
You go to the visa office in "no man's land" at the Lo Wu border crossing from Hong Kong. There was a large waiting room, but luckily there was only one person in front of us, so we got the visa within about 5 minutes.
It is only valid for the Shenzhen Special Economic Zone, which used to have its own border crossing with China when it was a closed city a few years ago. It is NOT valid for the Longgang or Baoan districts of Shenzhen.
We inadvertently strayed into Baoan, but fortunately, whilst the border post between the SEZ and China is still there, it is no longer manned.
According to the sign in the visa office, as of January 2013, citizens of the following countries could get the visa, and the varying prices are listed in RMB:
Congo (Kinshasa) 747
United Kingdom 304