Some of her most commercially successful works were in the action genre, but Cheung once said in an interview that of all the work she has done, the films that really meant something to her are Song of Exile, Center Stage, Comrades: Almost a Love Story and In the Mood for Love.
Beberapa karyanya yang sukses secara komersial berada pada genre aksi, namun Cheung dalam sebuah wawancara menyatakan bahwa seluruh karya yang telah ia buat, film yang sangat berarti bagi dirinya antara lain Song of Exile, Centre Stage, Comrades: Almost a Love Story dan In the Mood for Love.