In a nutshell, Shenzhen is a technology and shopping city. The train from Hong Kong will get you there in a bit over an hour. By Chinese measures it's not a very big city but 10 million is still not your average small town (it's significantly bigger than neighbouring Hong Kong already, and still growing fast). Going from one part of the city to another will take up to an hour. After Wikitravel's vivid description of the horrific taxi driving habits we opted for the metro.
We wanted to see (and taste) some of its culture, so we booked a hotel in Nanshan, a rather central part of the city. We thought this would make it easier to get to all the different places and see more things. Instead what happened was a monsoon and the realisation that, once past the border, no one speaks any English at all.
Thanks to a VPN and Google Translate, we managed to wing it (and sometimes it worked). In case of doubt, we nodded and assumed we understood what people were saying (which was not the case).
All in all, Shenzhen was a nice experience, despite a long wait at the border and some difficulties in establishing what was and wasn't meat.
Though Shenzhen has many nature parks, the monsoon made it quite impossible to see any of them. Instead the Guan Shanyue Art Museum proved to be great for feeding the soul as well as the stomach. Great art & industrial design and an even better lunch. Highly recommended (also no entrance fee).
Shopping without any knowledge of Chinese proved to be difficult (though not impossible). Especially interesting is Huaqiangbei - a tech shopping district that will make any techie drool like a kid in a candy shop.
Though the shopping mall at the Luohu border checkpoint is quite annoying (get swindled or haggle like a pro), it's the easiest way if you came for shopping. English isn't a problem here and you can pay with all major cards.
As it is for Shenzhen - once was quite enough. China, though, is another story.