Shenzhen Transportation

If you arrive at HKG airport with luggage, best pass the Hongkong entrance border and claim your luggage, then follow "Transport to Mainland China" and then take the Bus for 80 HK-$ to Shenzhen-Huanggang. When you get the bus ticket to Huanggang, best ask at HKG airport for the price of a further transfer to your end location in Shenzhen. Alternatively you can take this 80HK-$ bus connection to Huanggang, and then in Huanggang take an OFFICIAL taxi. If you did NOT order the further transfer with the bus company, take care that you do NOT follow the guys of the bus company, who wait for you after Chinese border control (they recognize you from your tape sticker). The try to exploit your uncernity with this special border (and typically you will be delighted by the good and fast bus service), and then they will overcharge you completely when giving you a further bus connection to your final hotel. They wanted 560RMB for a drive to Dameisha, after I told my limit of 300RMB, I had to pay 400RMB. But later I drove to Dameisha from downtown Shenzhen which is even a longer distance than from Huanggang, and the taximeter only went to 80RMB.

In the other direction (TO HKG airport), to my information the ferry boat is the fastest alternative. I did it this evening, it was very fast and to my surprise the give you 120 HK-$ "tax refund" in HK$ cash, because you did not pass by HongKong when coming to the airport - very nice. The price for the ferry in Shenzhen was 260 RMB, if you subtract the 120HK$, you end up somewhere at 100-150RMB, which is really a good price for this service - at the arrival in HKG you have a special luggage check in hall for all the airlines, this is very comfortable without any waiting (Chinese passport control is already in Shenzhen Shekou ferry terminal).

From HKG to Shenzhen principally you can also take the ferry, but if you come with luggage they have a quite a cumbersome procedure for the luggage - they somehow transfer it to the ship automatically, but they count 1 hour for this procedure, so you cannot take the next ferry, but only a later one, which is not very efficient - the bus solution is much faster in this direction.

If you arrive by international flight to shenzhen and need to take a taxi, don't take the taxi driver directly infront of exit, as they will likely to overcharge you. Walk to the right towards domestic terminal instead and take taxi from official taxi stand.

I don't know this for sure but I have taken the ferry from HKIA to Macau and think the process is pretty much the same. If you're planning to take the ferry to Shenzhen then follow the signs for the ferry transit which brings you to Transit Area 2. This before immigration and you MUST NOT go through HK immigration. (At least, this is the case for going to Macau). You buy the ticket and then you have to follow the directions (through transit area)downstairs to the designated gate where you'll get picked up by a shuttle to the pier. Your luggage will be transfered to your boat so you don't need to pickup from baggage claim. Don't forget to have your baggage claim ticket handy.
This website might help but you can also yahoo, bing, or google 'turbojet ferry transfer from Hong Kong International Airport'

http://www.hongkongairport.com/eng/transport/transport-connection-with-mainland-china/ferry-transfer/ferry-schedule.html

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There are two major budget airlines flying to Shenzhen from overseas, and they are Tiger Airwyas from Singapore and Air Asia from Malaysia and Thailand. These provide budget travellers a good choice if you want to enter China or Hong Kong from South East Asia region. Tiger airways flies only to Singapore; while Air Asia flying more destination from Bangkok, Kuala Lumpur, and Kota Kinabaru.
Also, please note that there is NOTHING to see once you check-in, since the international terminal is VERY small in this airport. The good thing is you can "smuggle" a can of drink to airplane since there is NO further check in the waiting hall.

Shenzhen Subway is essentially a single line from Luo Wu to Windows of the World station. Now there's a secondary short line running across the main line.

Taking the subway is a breeze. The trains are fairly new and have LED directional signs. Announcements are in 3 languages - Cantonese, PuDongHua and English.

Fares from Luo Wu to Windows of the World is RMB5. The same from Dongmen to Windows of the World.

Within each MTR station, there are ATM machines that are capable of accepting VISA cash withdrawal.

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Coming from Hong Kong to ShenZhen is easy as a breeze. I have travelled a lot from one side to another, and I really enjoy this convenience. You can take train from any of Hong Kong MTR station. You take train to Lo-Wu / Luo-Hu, the former is Cantonese, the later is Madarin. Please remember to take you passport and Chinese Visa. It's rather easy for visitors to go to Hong Kong, but please do NOT forget that Hong Kong, like Macau, is a Special Area Region(SAR), one country, two policy.
Passenger can buy either a smart card or one way pass. The price is 10% cheaper if you use a smart card; however, if you don't travel that much, why not buy a single ticket?!
You can feel the change once you enter to the other side, I don't want to tell you how I feel every time when I cross the border, you can try to feel it. No pros and cons...

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The most and safest way to travel around in Shenzhen is to take MTR. You can leave LuoHu immigration checkpoint and all the way to ShiJieZhiChung...meaning the window of the world, a local amusement park. The ticket is rather cheap if you want to compare the price with her neighbour city Hong Kong. The line connects most touristic sopts here, and distance between station to staion is not very far; therefore, you can see the downtown easily within few days.

Shenzhen is a good place to begin a travel through China. Many trains depart from the main station near the border and it is really easy to get a ticket 12-24 hours in advance. The ticket office workers are quite helpful. They have some knowledge of English.

The airport is also interessant. You find many connections with cities around China. There are easy transportations from/to Hong Kong.
It is really cheaper to travel to/from Shenzhen instead of travelling to/from HK. And flights to HK from anywhere in the world are cheaper than flights to Guangzhou or Shenzhen.