Day 2: The slow train to Shenzhen is faster
The 112 year old slow train to Shenzhen is faster than high speed rail.
As I write this, I'm on the train to Shenzhen. It's not the famed "it only takes 14 minutes to go to Shenzhen" high speed rail that departs from West Kowloon and goes faster than a small airplane, but the historical "Canton-Kowloon Railway" that's been running since the end of the Qing Dynasty in 1910. When I first came to Hong Kong about 20 years ago, it was called the Kowloon-Canton Railway and these days we call it the MTR East Rail Line. Or the Light Blue Line for those that prefer colors.
The problem with the 14-minute "high speed train" to Shenzhen, is that the whole process of getting to the station in Hong Kong, going through security, and two sets of immigration and customs takes so long and is subject to so much variance, that it's very risky for someone that lives on Hong Kong Island to buy a ticket that departs much soon than 2 hours after they leave home. You really need to arrive at the station, as a foreigner, about an hour before your train departs and to leave home 30 minutes to 1 hour before that depending on where you live. Trust me...I've missed plenty of trains trying to leave home 90 minutes before depart...it's very risky.
In contrast, the ancient, century-plus old line that I'm on now departs from within a 10 minute walk of anywhere in Wan Chai, Causeway Bay or Admiralty and an hour later drops you off at the border. You don't need to buy a ticket in advance and trains run every couple minutes. Walk across a bridge and 10-20 minutes later you're through immigration and in Shenzhen. It's both absolutely faster by about ~30 to 45 minutes for many people on Hong Kong Island and a lot less stressful because there's no need to worry over possibly missing a train and you're not surrounded by thousands of others...mostly tourists...also stress over possibly missing their trains. I highly recommend it!
Update: Starting Monday, you won't actually have to stress about missing your train to Shenzhen, since China Railway will allow you to change it to a later (or earlier) one for free. Look forward to trying it again.