Diwang Building

Diwang building is the tallest skyscraper in Shenzhen, at 69 floors, and the symbol of the city's super fast success. The building is office space for the city's most prestigious firms, but you can pay around 120RMB to go to the viewing deck on the 68th floor and look over the whole city center. On the ground floor is Shun Hing Square with lots of smart clothes shops.

Opposite the Diwang building is the new multi-storey shopping center "Mix C" complete with ice rink, cinema, and lots of international style restaurants. Many of the shops in the Mix are Hong Kong style overpriced fashion boutiques, but this does not deter the hordes of window shoppers.

A short distance from Diwang is the Shenzhen Stock Exchange, which you can't go into, and still within walking distance, a block away and still the same metro station, is the Grand Theater.

Grand Theater

Completely refurbished in 2006, the Da Ju Yuan / Grand Theater in Shenzhen is a great venue for classical music and traditional Chinese music events. Shenzhen has its own Symphony Orchestra (http://www.sso.org.cn/) and with tickets normally between 60 - 300 RMB no one can complain that culture is out of reach in this modern boom city.

Across the road from the Grand Theater is Lychee Park, which is recommended for taking photos on traditional style bridges, taking a pedalo out on the lake, or watching the unnervingly professional ballroom dancing couples practice outdoors.

On the corner of the park is a large billboard with a Picture of Deng Xiao Peng, the "father of Shenzhen". It was he who came up with the idea of raising Shenzhen / Baoan from a fishing village to a global scale metropolis, and Chinese visitors to Shenzhen wouldn't want to miss a chance to be pictured in front of the late Chairman.

Citizens' Center

Shenzhen's city government decided to relocate the Central Business District west, out of the original city center (Luohu) and into brand new, spaciously planned zones in Futian District. Part of this project is the Shimin Zhongxin  / Citizens' Center: a huge government building with an iconic "bird shape" roof. Not much to do or see inside, but it's worth taking a taxi around this whole area, especially at night time, to see all the shiny new skyscrapers. The newly developed area around the Citizen's Center also includes the Children's Palaceamusement center and exemplary New Shenzhen Library. About half a mile south is the New Exhibition Center / Huizhan Zhongxin, which is, in typical Shenzhen style, impressive just because it is huge.

 I've found these three places that are supposed to be the three essential places your supposed to visit in Shenzhen. Also check out the beaches!

http://www.ezilon.com/articles/articles/3688/1/3-Essential-Places-To-Visit-In-Shenzhen%2C-China