We stayed in the Marriot on the Hong Kong side, got it on Priceline for $100 US a night. Nearest MTR is directly under the hotel so really really handy.
Disney in HK is tiny, you'll do the entire thing in a couple of hours. It's about half the price of the other DLs with good reason. Disney merchandise is really cheap there compared to other places. It's worth a trip to Disney for the train alone...you'll see
The Cable car and Big Buddha in Langtau is worth a visit, you could combine it with a Disney trip. Skip the outlets in Langtau, they're tiny and not very good.
Victoria Peak is great for a good view of HK, and if you're a literary person, then the noonday gun is worth a visit.
Macau is the Vegas of Asia, entertaining!! Shenzen is crowded and doesn't feel the safest of places, have a look over at the Shenzen forum on tripadvisor to see if you like the sound of it.
One thing to bear in mind in HK and if you venture to Macau or Shenzen is that mainland Chinese people do not have the same personal space issue/consideration that we would have, or the HK people who lived there under Britain have.
Mainland Chinese (for the most part) do not queue, they barge in. If you're on public transport they have no qualms about being in body contact. In Disney we learned to queue as wide as we could, elbows out if necessary. I also had an incident in the queue for Space Mountain where the guy behind me could not have been in more contact with me unless we were being intimate. Nothing personal or malicious, personal space is just not what they're brought up to respect. Might sound like a sweeping generalisation but it's something we noticed very early on and alot!
Vietnam is my favourite place on the planet so if you can get there for a good price from HK I would. (Flights from here start around 1k). OH and I disagree as to whether Hanoi or Ho Chi Minh is the better city to visit. HCM has a more Western feel, Hanoi is Paris meets Bangkok. My absolute favourite place is Hoi An, a coastal town that is just magic. We stayed in the Victoria resort on the outskirts of town, heaven on earth!