I was in Shenzhen two years ago. I went with my wife and daughter to HK for 1 week of holiday (amazing place) and we went one day to Macau and one day to Shenzhen.
You go by train and the trip take I guess 1h (?) from HK to Shenzhen. When you arrive, you need to go through border control and purchase a one day visa. This takes a lot of time and is difficult to fully understand if you are a foreigner. Fortunately I had a friend in Shenzhen who toured me. You will definitely need to go in the morning and plan the whole day!
Shenzhen is hands down worth the trip, because it feels like being in the future (kind of Blade Runner style, but not dark - rather coloured, instead).
The malls are amazing: imagine the Alibaba online shop in real life. You have for instance a huge mall only with electronics components. A WHOLE MALL!!! Then I went to another mall that had basically only second hand test equipment. Like being on eBay, but ready to pay and go. Again, simply amazing.
But:
- I went with my wife and daughter and though they were sympatethic with my hype, they clearly were not enjoying these malls that much, so I felt in a hurry to move on to different themed malls (imitation, fashion, bags, phones, etc.).
- Prices are not amazing, simply because they are not better than eBay prices, which makes sense as the stuff comes from here and China pays for the shipping. Also, eBay sellers don't have to run a physical store, so they will be even cheaper.
- Prices are to be discussed. Kind of hard when you don't speak the language and fail to understand their culture. Make sure you have a calculator with you to calculate the price in your currency and to simply enter your offering price. On some items in HK street market I ended up paying less than half the asking price.
- Remember that you will have customs to deal with if you purchase expensive or big stuff.
In the end, the only really notable purchase I made was in HK: there was a shopping mall which had only cell phone shops (parts, second hand, counterfeit, originals, repairs, ...) in downtown (close to the Lady market, I think that was the name). Here I bought a second hand Samsung Galaxy Note 4 (original) in as new condition for a really low price (about 200 Euro in 2015). Best purchase of the year - I am still using it.
Interestingly, I did not buy anything in Shenzhen. To do so, I would have required:
- at least one day ALONE (no family, no friend, no guide) to browse all malls and shops
- internet to confirm product models/versions and prices
- money to spend
If you are into purchasing Test Equipment, make sure you know the differences of China models vs Export models (Uni-T, Siglent, Rigol, etc.).
Don't waste time on fake phones (iPhone, Samsung): they all suck and feature fake CPU, screen resolution, etc.
There are shopping malls only with amateur radio stuff. Nice, but then you can purchase Baofeng on eBay for less than 30 Euro - the ones I bought online didn't even go through customs plus you get eBay/Paypal protection, which is more than you get in a shop in Shenzhen.
Most important advice: just enjoy your stay at Shenzhen and appreciate the dynamic. You really feel you are close to the world's electronic manufacturing site. It is just amazing to see all these small shops with small pick and place machines producing whatever...
Regards,
Vitor