i want to know the answer as well though i have been here for nearly two years.

  I never liked Shenzhen, lived there for about 6 months altogether. Best thing I did in that time was leave. There are a couple of good bus and train stations I can give you the name of if you like.

You can go shopping for bargains in Louhu or go eat drink and be merry in the expat hangout in Shekou at Sea World (I highly recommend The Terrace).

Stay away from tourist traps.  If you can get there Dapeng Fortress is interesting.  It is about 500 years old and has been continuously lived in by locals the whole time...but it is about 1 hour east of Shenzhen.  http://en.wikipedia.org/wiki/Dapeng_Fortress

Also check out Fairy Lake Botanical Gardens..it's a giant park that has a huge Buddhist temple on a mountain.  http://www.tripadvisor.com/ShowUserReviews-g297415-d1843199-r126960268-Xianhu_Botanical_Garden-Shenzhen_Guangdong.html

I live here and my escape is Hong Kong but there are some nice spots in SZ to check out.

Here is another resource http://www.lonelyplanet.com/travelblogs/12/311/10+Must+Sees+in+Shenzhen+China?destId=355944

Top thing to do in Shenzhen. Cross the border to Hong Kong. Apart from that I would really like to go to King Key 100 to see the view (I live under the assumption that there must at minimum be a cafe where one can get an overpriced cup of tea at one of the top floors)

I have been to "Happy Valley", the name is not accurate, it is not a valley and it's not a particularly happy place. There is some other theme parks. "Windows of the World" could be interesting, if you like replicas of tourist attractions from around the world