IMPORTANT: The issuance of this type of visa is temporarily suspended
If you land in Hong Kong and have a European, American, Canadian, Australian or New Zealand passport, you can immediately head to the Chinese border and apply for a 5 day visa which will be issued right then and there (to apply all you’ll need is your passport and 150 HKD).
This visa is only valid for the special economic zone of  Shenzhen, namely the cities of  Shenzhen, Shekou and the factories dispersed throughout the surrounding countryside.
The visa is called “Tourist visa to Shenzhen Special Economic Zone” so, technically, it’s a tourist visa. However it is also convenient for those who come to Shenzhen, the world capital of electronics, for business purposes.
If instead you’re in Macau you can apply for a similar visa for the Zhuhai area (in this case for a length of three days).