By far the best place for strolling or simply hanging out in the city is the breezy OCT-LOFT complex, a warren of repurposed communist-era factories criss-crossed by cobbled laneways. It's also a great place to browse a multitude of contemporary art spaces in between pit stops at the area's excellent cafes, design shops, music venues, bars, restaurants and Shenzhen's best bookshop.
OCT-LOFT (OCT stands for Overseas Chinese Town) started out, appropriately for Shenzhen, as a TV manufacturing base before it was converted into a creative industries hub. Staying here is recommended, if you can snag a room at the hip Shenzhen Loft Youth Hostel, formerly a factory workers' dormitory complex. Note that OCT-LOFT isn't actually served by OCT metro station.