If you ever complained that Beijing lacks history then don't even get started on Shenzhen. It's a new city with glass skyscrapers and concrete as far as the eye can see. You're not going to find as many good Western bars and restaurants in Shenzhen, nor will you find any old neighborhoods or hutongs. In general, Shenzhen lacks the creative flair and culture of Beijing.

...but the weather is better and there is a beach there, right?

BJ is more expensive, crawling with gov. dicks, cold in winter, crap weather all around people are so so... SZ people are friendlier, close to HK, cheaper to live gov. dicks are further away all around better everything including weather...