You definely need a visa goto Shenzhen. There are very few counties no need visa to go there or you are citzen of Hong Kong or Macau. You can check the price and apply the visa at China Travel Service (HK) Ltd. The details you can check this link: http://www.ctshk.com/english/aboutus/local.htm
Which is a offical Travel agency from China. Usually take 3 days to get the visa depends of the country.
You can goto Shenzhen not just only Train. You also can take bus to goto Shenzhen ( you can check the info. form the above link too)
Customer Service Representative
Sunpac Tours and Travel Ltd
Address : 1105 , Asian House , 1 Hennessy Road
Wanchai . Hong Kong
Tel : 2810 9300 Fax : 3527 0512
E-mail : email@example.com
If you are already in Hong Kong, get your Visa. They can do it the same day. Its only a 40 minute train ride. You will be in Shezhen, and the shopping is great. MAny things to see, take a look at some Shenzhen pages.
A daytrip up to the Shenzhen SEZ (Special Economic Zone) might be just the kind of culture shock you're after. Shenzhen is also increasingly geared towards travellers from Hong Kong. Shenzhen City, just across an always-crowded border point from Lo Wu in Hong Kong, is hardly a great place to discover the beauty and culture that China is famous for. But it is perhaps the perfect place to see China's emerging embrace of the free market in action; HK shoppers often find the bargains in Shenzhen that simply don't exist anymore in Hong Kong.
If you have three days in Hong Kong, spend one in Macau. If you have 5 days or a week in Hong Kong, then make Zhaoqing your China excursion instead of Shenzhen or Guangzhou, especially if you don't wish to fly to Guilin but still want to be charmed by limestone topography.
Zhaoqing is 110 km west of Guangzhou and is a poor man's Yangshuo. It is easily accessible by ferry from the China Hong Kong City pier in Tsim Sha Tsui.
For those on a tight time schedule who always wanted to go to China, but may never be so close again, take the train the Shenzhen. It only takes 40 minutes and with visa issuance and custom's clearance, you ought to be in China in less than 3 hours. (Best time: 1hr 25).
Now, please understand that Shenzhen is not one of China's cultural hotbeds - no hidden gems here. It is one of the 5 'Special Economic Zones' - which is to say, it's basically a modern city. There are some real shopping deals to be had - better even than HK. Plus, you can get to the Chinese folk museum, which is a worthwhile 2-3 hours, as you sample the various cultures throughout this diverse country. It'a little like being at Baskin Robbins, where you keep getting cute little pink spoons of flavour samplings - only, the museum is culture, not frozen milk.
All-in-all, there's much more to see and do in HK, but hey, you can save a bunch of dollars and say you've been to China!!
You can take the metro to mainland china and walk across through immigration. Entry visa is 100 HKD (13 bucks) to the economic zone of Sheng Zen. I didn't see much there except malls and more highrises (like there aren't enough to see in Hong Kong).
Take a train ride into 'Canton' China. Here is how you do it ...
1. Take a bus over the border to Shenzhen. It became a city in 1979, when the government set it up as a special export zone, and it rapidly grew to 2 million people! (Is it still a border? I haven't been there in about four years!)
In 1982, it's first 'high rise' building was put up. Now, in 2000, there are over 600 of them over 18 stories high!
2. Tour Shenzhen. It is a bit mind blowing. The city grew to 2 million people in about 10 years, and I think all of the first 2 million residents were under 30 years old. That was a government requirment. They all went to Shenzhen to work in factories supporting trade that ran through Hong Kong. I used to work there a bit, and I was told that workers wouldn't even take jobs unless they were guaranteed 80 hour weeks. Money, about $0.30 per day I think, was often sent home.
3. In Shenzhen, we went to a market where they were selling dogs (already dead) for food. Live chickens are also taken away in baskets on bicycles. Dead chickens are kind of mushed flat. Really, after going there, I couldn't eat the rest of the day. :-) ...
4. Go through a museum in Shenzhen if you can. The one we toured had broken glass in the doors and everything. It made me just think 'WOW'.
5. Go on to Canton on the train. The scenery on the way is also mind blowing. Old factories spewing black smoke. Tons of people with large hats and picks working on the side of the railway. It really leaves a memorable impression.
You can do this whole trip in a day. Very memorable!