From China to Hongkong, Hong Kong

For a one-day visitor, the 'Tourist Cross-boundary Travel Pass' is available at the Lo Wu border crossing for HKD $85 and will save you so much time lining up at metro stations and fumbling for the right money.
Strongly recommend this tip as a time saver and travel companion.
I think that other tickets for a longer duration are available but the one-day option is also good value for money in what you will read about as an expensive tourist destination.

The Kowloon Canton Railway is the suburban commuter rail system of Hong Kong. It can take you all the way into Mainland China as well as many smaller towns and villages in between. I used it to go visit the railroad museum.

UPDATE. The KCR was merged into the MTR in 2007 to improve regional efficiency and more importantly back-end efficiency.

I traveled from HK airport to Dongguan (or Dongwan), Guangdong, by Limousine Service. Given the advice from locals, it seems this is the most convenient option to travel both ways between the two locations and in case one has to reach a specific hotel. Having Hong Kong territory a special status, citizens of countries that have an agreement can travel there on a waiver visa program. Entering Mainland China otherwise requires a visa and I don't know if it's possible to get it right at the airport. It is advisable to obtain it at the local consulate in your country before traveling.
The service I used has a counter in Terminal 2, C02 location and tickets can be purchased with a credit card. Price as of January 2012 was HK$ 230 one way. Total travel time to destination is about four hours
A comfortable 7-seater van leaves right in front of the above mentioned C02 counter and reaches the border in about one hour. The van takes a preferential bus lane to minimize the waiting time. Passengers' passports are collected and presented at the toll-gate-style window and the van's sliding door is opened to allow the inspecting officer to see the occupants. Shortly after this, the van stops and passengers are moved to a different van which proceeds all the way to the Hyatt hotel in Dongguan. From here, another van takes the passengers to their final hotel destination.
Clean, easy and relatively inexpensive for the quality level of the service.

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From Luohu Train Station (Luohu HuoCheZhan) follow signs for Hong Kong and you will reach the border checkpoint. It is easy and quick to pass through, taking you straight to the Hong Kong side - Louhu now becomes Lo Wu - where you use ATM cash machines, exchange money or purchase travel cards with Chinese RMB and ask English speaking staff any questions.

A very inexpensive way of traveling from China to Hong Kong is to catch the overnight train services and then the MTR when you arrive in Hong Kong.

The ticket from Guilin to Shenzhen was approx 55 Yuan (US$9.00 in July 2008) and represented the transport and accommodation costs.

The trip took 14 hours, the compartments sleep 6, the beds are very comfortable and the trip proved to be hassle free. (For the cheap cost of the ticket you can always book out the entire compartment!!)

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We took a catamaran back to mainland China. The trip was very comfortable and took about 2 hours. $HK 170.00 for first class . We went with the Chu Kong passenger Transport Co. from HK to Guangzhou. They had two crossings one at 8:30AM and One at 2:30.PM. It was interesting as to see the water change from blue to yellow as we left the South China Sea behind and entered China's Pearl River

This is much simpler than I thought. You get the metro to Lo Wu station at the very end of the line and follow the signs on the platform. It gathers everyone into the correct lanes and deposits you at the HK Immigration desk. Through there in 15 seconds. Then across a long bridge over the river and you are in China (This is not a part you can avoid noticing). You queue for Immigration (foreigners on the left) and get through in 10 minutes. You are required to put all luggage through an X-ray machine, then Hey Presto, you are in heaving, smoky, hustling, shouting, pushing, shoving Shenzhen. Turn right for taxis, and it looks as if Shenzhen station is just a few metres away from the front of the border post (certainly within walking distance even with heavy luggage). Note that most taxi drivers in Shenzhen are Mandarin rather than Cantonese-speaking (as is the whole city seemingly): all the Cantonese-speaking Shenzhen taxi-drivers are now plying their trade in Hong Kong!

By Train: HKG - Guangzhou (3 hours) then Guangzhou - Guilin (14 hours).
Price Y220.

By bus: HKG - Shenzhen (1.5 hour) then Shenzhen - Guilin / Yangshuo (10 hours). Price HKD250-280.

Tickets available at Shenzhen bus terminal, as well as China Travel Service in Hong Kong (www.chinatravel1.com/english/index.htm).

It's usual that for people go to South China fly to Hong Kong first. If you don't like to spend time in Hong Kong like I do, there is a ferry you can take and direct to Guangdong from Hong Kong airport.
As many people know, though Hong Kong is part of China, but they have a separate custom from mainland China. Without taking the ferry, you have to first come to Hong Kong custom in airport for entering Hong Kong, then go to Hong Kong custom again in Luohu or Huanggan for leaving Hong Kong, until now you can see the China custom.
On your way out the airport, there is a desk to sell ferry ticket to many places in Guangdong. It's before the Hong Kong custom. When you buy your ticket there, they will have bus take you direct to the ferry so you don't have to see Hong Kong custom at all. It really saves lots of trouble. Another good thing is, they even help you pick up your baggage from your airline. Just buy the ticket then wait for the ferry, that easy! But for each additional baggage they pick up for you there is a $30HKD charge.
For more information about their service you can visit the website below.

Runs commuter service between Lo Wu (border with Shenzhen), Tuen Mun, Kowloon & Shatin.

East Rail runs from Lo Wu to Hung Hom Railway Station (South Kowloon).

West Rail Runs from Tuen Mun to Nam Cheong(Sham Shui Po - West Kowloon).

KCR also offers Intercity Passenger Service to Shanghai, Guangdong & Beijing. They are based at Hung Hom Station.

Light Rail is also offered by the KCR to residents living at Northwest New Terroritories. You will probably encounter it if you are exploring Tuen Mun & vicinity.

For a complete Route Map, please click on the following link: KCR Route Map

KCR has direct links to MTR at Nam Cheong, Mei Foo, & Kowloon Tong. There are also direct bus links that could take you anywhere in Hong Kong.