I wrote this up before:

I honestly love living in Shenzhen - although if you're looking to escape the "Chinese experience", Shanghai is probably more up your alley.

That said, what I enjoy about Shenzhen is that it's got something for everybody - if you enjoy density, crowds, and endless malls, you can live in Luohu or Huaqiangbei. If you enjoy a quiet place with greenery and open space, you can live in Shekou or (even better) OCT. Personally, I love living in South Futian, with its super dense "villages" (old, crowded buildings remnant of before Shenzhen was a city) juxtaposed against the modern, gleaming CBD right across 滨海大道.

The Chinese food is excellent - best I've had anywhere outside of Guangzhou. Chinese people come from all over, so it's possible to get pretty authentic Sichuan food, Fujian food, Xinjiang food, etc. There's also some great Korean food (in Chegongmiao) and Japanese food (in Guomao), although Western food in pretty lacking outside of the five star hotels and one restaurant in Futian ("The Kitchen", if it had to be said).

Shenzhen doesn't really have any attractions to speak of, but the people I've found are some of the most open-minded and outward looking of anywhere in China.

I know I sort of sound like an advertisement, but it's honestly become my favorite city to live in in China. Much better than Beijing, at least.

One big downside is the expat community here - while it's getting better, it's still one of the scummiest I've seen in China. At least a plurality of people I've met here are single old men that get their kicks sleeping around with wide eyed Chinese girls half their age.

As to Hong Kong, I find it's usually a two-hour trip door to door to Hong Kong island from anywhere in south Futian. I don't do too many day trips - I'll usually spend the night in Hong Kong. I've had friends though that live right by the border in Huanggang, have a Z visa with a foreign expert permit (enabling you to apply for the border's e-card), and commute to Hong Kong (takes them around an hour).

On learning Mandarin in Shenzhen:

In Shenzhen, you'll be completely fine. Shenzhen is a city of migrants, and Mandarin is the lingua franca. In my opinion, Shenzhen is an excellent place to study Mandarin because you're forced to rub shoulders with accents from all over China. I wouldn't worry too much about the "purity" of your accent, because all of us outside of the Da Shans of the world have primarily a western accent, no matter how "标准" a Chinese person says it is :).

Outside of Shenzhen, the situation is in Guangdong is a little bit less clear. In Hong Kong, Mandarin is not only not spoken but also barely understood. Guangzhou would probably still be a fine place to learn Mandarin, but you'll hear much more Cantonese on the street. Outside of the major cities, it can be a little frustrating (everyone knows Mandarin, but often when people speak amongst their friends they'll switch to dialect, even if you're there).

In any event, Shenzhen is a great place to learn Putonghua. Honestly, I'd say that the two best cities in China to learn Chinese are (1) Beijing (of course, if just for the resources at your disposal) and (2) Shenzhen.

On someone saying that they bet Shenzhen is "one of the most modern cities on earth":

I'm sorry, I love living here, but I gotta stop that perception in its tracks. Shenzhen is still mainland China. It is undoubtedly one of the most modern cities in China, but don't expect it to be akin to the Tokyos, Singapores, Hong Kongs, and Seouls of the world. I would venture it is roughly as modern as Beijing. The big difference is that in Beijing modernity and development is driven by the government and/or foreign companies, while in Shenzhen it's driven much moreso by private Chinese companies (there's plenty of foreign investment here, but alot of it is manufacturing related. There's not the foreign retail influence like there is in e.g. Shanghai).

In terms of density, it really depends where you are in Shenzhen. Downtown Luohu district is roughly as dense as Manhattan, while where's you're going to be studying in Xili has an almost suburban feel (on that note, since you're living in Nanshan, I'd recommended you get the number of a reliable 'black cab'. You'll save money on taxis and get the added convenience of being picked up - taxis can at times be a pain to hail in Nanshan).

Crime is not a problem, especially in the area where you'll be living. I've never heard of any crime in Shenzhen outside of economic 'crimes' (all of which are much more loosely enforced in Shenzhen than other cities... e.g. street vendors, prostitution, illegal real estate development, etc.) and, of course, pickpocketing.